260628.mbx

260628.mbx T R O U B L E D C O M P A N Y R E P O R T E R Sunday, June 28, 2026, Vol. 30, No. 179 Headlines 425 TRUST 2026-LEX: Moody's Assigns (P)B2 Rating to Cl. F Certs AB BSL CLO 6: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ACREC 2026-FL5: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches AIMCO CLO 10: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes AMAPS 5: Fitch Assigns 'BB(EXP)' Rating on Class C Notes ANCHORAGE CAPITAL 18: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes APIDOS CLO XXXV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ARES LOAN V: Fitch Affirms 'BB-sf' Rating on Class E Notes ARES LXXXI: Fitch Assigns 'BB-sf' Rating on Class E Notes ASPIRE MORTGAGE 2026-3: S&P Assigns B (sf) Rating on Cl. B-2 Certs BALBOA BAY 2024-1: S&P Assigns 'BB- (sf)' Rating on Cl. E-R Notes BANK5 2026-5YR22: Fitch Assigns 'B-sf' Rating on Class G-RR Certs BANK5 2026-5YR23: Fitch Assigns 'B-(EXP)sf' Rating on 2 Tranches BBCMS MORTGAGE 2026-5C42: Fitch Assigns BB-sf Rating on 2 Tranches BENCHMARK 2020-B18: Fitch Lowers Rating on Cl. G-RR Notes to 'Csf' BENCHMARK 2020-B21: Fitch Affirms 'Bsf' Rating on Two Tranches BENEFIT STREET V-B: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes BIKE 2026-BAND: Moody's Assigns Ba2 Rating to 2 Tranches BMO 2024-5C4: Fitch Lowers Rating on Two Tranches to 'Bsf' BRAVO RESIDENTIAL 2026-NQM5: Fitch Rates Class B2 Notes 'B-sf' BRIDGE COMMERCIAL 2026-MF: Fitch Rates Class HRR Certs 'Bsf' BX COMMERCIAL 2026-ORBT: Fitch Rates Class HRR Certs 'B-(EXP)sf' CARLYLE US 2019-4: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes CARMAX SELECT 2026-B: Fitch Assigns 'BBsf' Rating on Class E Notes CARVAL CLO V-C: Fitch Assigns 'B-sf' Rating on Class F-R Notes CHASE HOME 2026-AGY1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs CIFC FUNDING 2017-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R3 Notes CIFC FUNDING 2022-II: Moody's Cuts Rating on Class F Notes to B3 COLLEGIATE FUNDING 2005-B: Fitch Lowers Cl. A-4 Notes Rating to Bsf COLT 2026-5: Fitch Assigns 'BBsf' Final Rating on Class B2 Certs COMM 2015-DC1: Fitch Lowers Rating on Class D Debt to 'Csf' CROWN POINT 9: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-RR Notes CROWN POINT 9: Moody's Assigns (P)B3 Rating to $250,000 F Notes DRYDEN 42: Fitch Assigns 'B-sf' Final Rating on Class F-RR Notes DRYDEN 83: S&P Affirms BB- (sf) Rating on Class E-R Notes DWIGHT 2026-FL2: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches ELMWOOD CLO 49: Fitch Assigns 'B-sf' Final Rating on Class F Notes EXETER AUTOMOBILE 2026-3: S&P Assigns B (sf) Rating on Cl. E Notes FIGRE TRUST 2026-FL2: Moody's Assigns B3 Rating to Cl. B-2 Certs FORTRESS CREDIT XXVII: S&P Assigns BB-(sf) Rating on Class E Notes FREDDIE MAC 2026-MN14: Fitch Assigns BB-sf Rating on Cl. M-2 Notes GLS AUTO 2023-2: S&P Affirms BB- (sf) Rating on Class E Notes GOLDENTREE LOAN 30: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Notes GS MORTGAGE 2016-GS2: Fitch Lowers Rating on Class C Debt to 'CCsf' GS MORTGAGE 2026-PJ8: Fitch Rates Class B5 Notes 'B-(EXP)sf' GS MORTGAGE-BACKED 2026-DSC2: S&P Rates Class B-2 Certs (P) B (sf) GS MORTGAGE-BACKED 2026-HLTV1: S&P Rates Class B-2 Certs (P) B(sf) GUGGENHEIM MM 2023-6: S&P Assigns BB- (sf) Rating on Cl. E-R Notes HILDENE TRUPS 2018-1: Moody's Assigns Ba2 Rating to $5MM D-R Notes HILTON GRAND 2026-2: Fitch Assigns 'BB-sf' Rating on Class D Notes ICG US 2014-2: Moody's Cuts Rating on $20MM Cl. E-RR Notes to Caa1 INCREF 2026-FL2: Fitch Assigns 'B-sf' Final Rating on Class G Notes JP MORGAN 2026-5: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs JP MORGAN 2026-FUN: S&P Assigns BB (sf) Rating on Class E Certs JPMBB COMMERCIAL 2015-C29: Fitch Lowers Rating on 2 Classes to Csf LENDINGCLUB RATED 2026-P4: Fitch Assigns Bsf Rating on Cl. F Notes MAGNETITE XXXVIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes MAN US 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes MENLO CLO V: S&P Assigns BB- (sf) Rating on Class E Notes MIDOCEAN CREDIT XXIII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes MOSAIC SOLAR 2022-3: Fitch Lowers Rating on Two Tranches to 'CCsf' NEUBERGER BERMAN 64: Fitch Assigns 'BB-sf' Rating on Class E Notes NEW RESIDENTIAL 2026-NQM7: Fitch Rates Class B2 Notes 'B-sf' NORTHWOODS CAPITAL XVIII: Moody's Affirms B1 Rating on Cl. E Notes OCEAN TRAILS XVIII: S&P Assigns BB- (sf) Rating on Class E Notes OCP CLO 2024-32: Fitch Assigns 'BB-sf' Rating on Class E-R Notes OCP CLO 2026-50: Fitch Assigns 'BB-sf' Rating on Class E Notes OHA LOAN 2013-1: Fitch Assigns 'BB-sf' Rating on Class E-R4 Notes ORION CLO 2024-3: Fitch Assigns BB+sf Final Rating on Cl. E-R Notes PALMER SQUARE 2018-1: Fitch Assigns 'BBsf' Rating on Cl. D-R Notes PFP 2026-14: Fitch Assigns 'B-sf' Rating on Class G Notes PIKES PEAK 16: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Debt PMT LOAN 2026-CNF5: Moody's Assigns B3 Rating to Cl. B-5 Certs PMT LOAN 2026-INV6: Moody's Assigns B3 Rating to Cl. B-5 Certs POST CLO VIII: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes PPM CLO 2018-1: Moody's Cuts Rating on $6.8MM Class F Notes to C PRKCM 2026-AFC4: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes PROVIDENT FUNDING 2026-2: Moody's Assigns B2 Rating to B-5 Certs PRPM 2026-RCF4: Fitch Assigns 'BB-sf' Final Rating on Cl. M2 Notes RATE MORTGAGE 2026-J2: Fitch Assigns 'Bsf' Rating on Cl. B-5 Notes RCKT MORTGAGE 2026-CES6: Fitch Assigns Bsf Rating on Five Tranches REALT 2026-RONA2: Moody's Assigns (P)Ba1 Rating to Cl. E Certs REGATTA XXVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes REGATTA XXVIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes RR 16: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes, Outlook Stable RR 45: Fitch Assigns 'BB-sf' Rating on Cl. D Notes, Outlook Stable SANTANDER BANK 2026-A: Fitch Assigns 'Bsf' Rating on Class F Notes SANTANDER BANK 2026-A: Moody's Assigns (P)B3 Rating to Cl. F Notes SBNA AUTO 2025-SF1: Fitch Affirms Bsf Rating on Class F Notes SEQUOIA MORTGAGE 2026-8: Fitch Rates Class B5 Certs 'B(EXP)sf' SEQUOIA MORTGAGE 2026-HYB2: Fitch Rates Class B2 Certs 'B-sf' SG RESIDENTIAL 2026-4: S&P Assigns B- (sf) Rating on Cl. B-2 Certs SUNNOVA HELIOS X: Fitch Lowers Rating on Class C Notes to Bsf TEXAS DEBT 2024-I: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Debt TRESTLES CLO VIII: Fitch Assigns 'Bsf' Rating on Class F-R Notes TRUPS FINANCIALS 2026-3: Moody's Assigns (P)Ba1 Rating to D Notes UBS COMMERCIAL 2017-C5: Fitch Lowers Rating on G-RR Certs to 'Csf' VENTURE 42: S&P Lowers Class E Notes Rating to 'B (sf)' VOYA CLO 2018-2: S&P Affirms 'B+ (sf)' Rating on Class E Notes WELLS FARGO 2015-C31: Fitch Lowers Rating on Class F Notes to 'Csf' WELLS FARGO 2018-C48: Fitch Affirms 'B-sf' Rating on Cl. G-RR Certs [] Moody's Upgrades Ratings on 4 Bonds from 2 US RMBS Deals [] Moody's Upgrades Ratings on 4 Bonds from 3 US MILN Deals [] Moody's Upgrades Ratings on 41 Bonds from 7 US RMBS Deals [] Moody's Upgrades Ratings on 51 Bonds from 10 US RMBS Deals [] Moody's Upgrades Ratings on 65 Bonds from 7 US RMBS Deals [] S&P Takes Various Action on 72 Classes From 11 U.S. CLO Deals ********* 425 TRUST 2026-LEX: Moody's Assigns (P)B2 Rating to Cl. F Certs --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to seven classes of CMBS securities, to be issued by 425 Trust 2026-LEX, Commercial Mortgage Pass-Through Certificates, Series 2026-LEX. Cl. A Assigned (P)Aaa (sf) Cl. B Assigned (P)Aa3 (sf) Cl. C Assigned (P)A3 (sf) Cl. D Assigned (P)Baa3 (sf) Cl. E Assigned (P)Ba3 (sf) Cl. F Assigned (P)B2 (sf) Cl. HRR Assigned (P)B3 (sf) RATINGS RATIONALE The certificates are collateralized by a single, floating rate loan, secured by a leasehold and leased fee mortgage on 425 Lexington Avenue, (the "Property"), which is a 31-story, Class A office building located in New York, NY. The building offers approximately 746,786 SF of net rentable area ("NRA"). Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. Moody's approach to rating this transaction involved the application of Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The Property was constructed in 1987 and offers approximately 746,786 SF of rentable area. Floor plates are flexible, ranging from approximately 14,500 SF to 36,000 SF. Slab-to-slab ceiling heights are approximately 13 feet. The Property is approximately 99.1% leased as of June 2026, with the vast majority of the area occupied by Simpson Thacher & Bartlett LLP. The law firm currently occupies approximately 702,592 SF (~94% of NRA) pursuant to a lease that is scheduled to expire in October 2033. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's Actual DSCR is 1.12x and Moody's Stressed DSCR of 0.82x. Moody's DSCR is based on Moody's stabilized net cash flow. The trust loan balance of $352,000,000 represents a Moody's LTV ratio of 121.4%. Adjusted Moody's LTV ratio for the first mortgage balance is also 121.4% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The portfolio's average property quality grade is 0.50. Notable strengths of the transaction include: (i) Location and accessibility: The Property enjoys a prime location in Midtown Manhattan on Lexington Avenue between 43rd and 44th Streets, directly across the street from Grand Central Station offering superior regional and local connectivity. (ii) Asset quality and recent renovations: The Property was recently renovated for over $34M in strategic base building improvements, including elevator upgrades, window replacements, and the delivery of a brand-new, state-of-the-art amenity center. (iii) Limited rollover during loan term: Leases representing less than 5% percent of the cumulative in-place base rent is scheduled to expire prior to the loan's maturity date in 2031. Notable concerns of the transaction include: (i) High MLTV: The mortgage loan has a high MLTV ratio of 121.4%. (iv) Floating-rate profile: The initial two-year loan accrues interest at one-month Term SOFR plus an estimated spread of 3.2% subject to pricing, exposing the loan to variable debt service payments. (v) Single-tenant exposure: Simpson, Thacher & Bartlett LP accounts for 94.1% of NRA and 92.7% of the in-place base pursuant to a lease that expires two years after loan maturity in 2033. The principal methodology used in these ratings was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. With respect to classes with ratings above the applicable sovereign rating, significant exposure to defeasance may also lead to a downgrade. AB BSL CLO 6: S&P Assigns Prelim BB- (sf) Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its preliminary ratings to the replacement class A-R loans and class A-R, B-R, C-R, D-1-R, D-2-R, and E-R notes from AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC, a CLO managed by AB Broadly Syndicated Loan Manager LLC that was originally issued in June 2025. The preliminary ratings are based on information as of June 23, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the June 26, 2026, refinancing date, the proceeds from the replacement debt will be used to redeem the existing debt. S&P said, "At that time, we expect to withdraw our ratings on the existing class A, B, C, D-1, D-2, and E debt and assign ratings to the replacement class A-R loans and class A-R, B-R, C-R, D-1-R, D-2-R, and E-R notes. However, if the refinancing doesn't occur, we may affirm our ratings on the existing debt and withdraw our preliminary ratings on the replacement debt." The replacement debt will be issued via a proposed supplemental indenture, which outlines the terms of the replacement debt. According to the proposed supplemental indenture: -- The replacement debt is expected to be issued at a lower weighted average cost of debt than the existing debt. -- The replacement class D-2-R debt is expected to be issued at a floating spread, replacing the current fixed spread. -- The non-call period will be extended to June 26, 2028. -- The reinvestment period will be extended to July 20, 2031. -- The legal final maturity dates for the replacement debt and the subordinated notes will be extended to July 20, 2039. -- No additional assets will be purchased on June 26, 2026, refinancing date, and the target initial par amount will remain at $400.00 million. There will be no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2026. -- The required minimum overcollateralization and interest coverage ratios will be amended. -- Additional subordinated notes will be issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Preliminary Ratings Assigned AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC Class A-R, $183.00 million: AAA (sf) Class A-R loans, $65.00 million: AAA (sf) Class B-R, $56.00 million: AA (sf) Class C-R, $24.00 million: A (sf) Class D-1-R, $24.00 million: BBB- (sf) Class D-2-R, $4.00 million: BBB- (sf) Class E-R, $12.00 million: BB- (sf) Other Debt AB BSL CLO 6 Ltd./AB BSL CLO 6 LLC Subordinated notes, $35.73 million(i): NR (i)Additional subordinated notes worth $1.63 million will be issued as part of the refinancing and extension. NR--Not rated. ACREC 2026-FL5: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to ACREC 2026-FL5 LLC as follows: - $605,000,000a class A 'AAA(EXP)sf'; Outlook Stable; - $152,625,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $79,750,000a class B 'AA-(EXP)sf'; Outlook Stable; - $63,250,000a class C 'A-(EXP)sf'; Outlook Stable; - $38,500,000ab class D 'BBB(EXP)sf'; Outlook Stable; - $0ab class D-E 'BBB(EXP)sf'; Outlook Stable; - $0abc class D-X 'BBB(EXP)sf'; Outlook Stable; - $19,250,000ab class E 'BBB-(EXP)sf'; Outlook Stable; - $0ab class E-E 'BBB-(EXP)sf'; Outlook Stable; - $0abc class E-X 'BBB-(EXP)sf'; Outlook Stable; - $33,000,000bd class F 'BB-(EXP)sf'; Outlook Stable; - $0bd class F-E 'BB-(EXP)sf'; Outlook Stable; - $0bcd class F-X 'BB-(EXP)sf'; Outlook Stable; - $23,375,000bd class G 'B-(EXP)sf'; Outlook Stable; - $0bd class G-E 'B-(EXP)sf'; Outlook Stable; - $0bcd class G-X 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $85,250,000d Income Notes. (a) Privately placed and pursuant to Rule 144A and Regulation S. (b) Exchangeable Notes. The class D, E, F and G notes are exchangeable notes. Each class of exchangeable notes may be exchanged for the corresponding classes of exchangeable notes, and vice versa. The dollar denomination of each of the received classes of notes must be equal to the dollar denomination of each of the surrendered classes of notes. (c) Notional amount and interest only. (d) Horizontal risk retention interest, estimated to be 12.875% of the aggregate principal balance of the notes. The approximate collateral interest balance as of the cutoff date is $1,100,000,000 and does not include future funding. The expected ratings are based on information provided by the issuer as of June 15, 2026. Transaction Summary The notes are collateralized by 25 collateral interests consisting of loans, promissory notes and participations therein, which are secured by 36 commercial properties with an aggregate principal balance of $1,100,000,000 as of the cutoff date. The pool includes five delayed-close collateral interests totaling approximately $206.9 million, which are expected to close or be modified within 60 days of the settlement date. The pool does not include approximately $22.5 million of expected future funding. The loans were contributed to the trust by ACREC Loan Seller II LLC. The servicer is expected to be Situs Asset Management LLC, and the special servicer is expected to be Situs Holdings, LLC. The trustee is expected to be Wilmington Trust, National Association and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 25 loans in the pool (100.0% by balance). Fitch's resulting aggregate net cash flow (NCF) of $36.6 million represents a 7.3% decline from the issuer's aggregate underwritten NCF of $39.5 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 146.8% is higher than both the 2026 YTD and 2025 CRE CLO averages of 139.0% and 139.6%, respectively. The pool's Fitch NCF debt yield (DY) of 5.71% is lower than both the 2026 YTD and 2025 CRE CLO averages of 6.50% and 6.47%, respectively. Better Pool Diversity: The pool diversity is in line with recent Fitch-rated CRE CLO transactions. The top 10 loans make up 60.0% of the pool, which is in line with the 2026 YTD of 60.1% and lower than the 2025 CRE CLO average 61.7%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.2. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: The pool 100% comprises multifamily properties, compared with both the 2026 YTD and 2025 CRE CLO averages of 73.9% and 76.1%, respectively. The quality of the pool is comparable to that of Fitch-rated Freddie Mac transactions. Therefore, Fitch modeled the pool as such, removing the property type concentration adjustment similar to Freddie Mac and Fitch-rated MF1 CRE-CLO transactions. No Amortization: The pool is 100.0% comprised of interest-only (IO) loans, based on fully extended loan terms. This is worse than both the 2026 YTD and 2025 CRE CLO average of 73.6%. As a result, the pool is expected to have zero principal paydown by the fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions for both 2026 YTD and 2025 were 0.5%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BB-sf'/'B-sf'/ less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement, then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E ("Form 15E") as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. AIMCO CLO 10: Fitch Assigns 'BB-sf' Rating on Class E-R3 Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to AIMCO CLO 10, Ltd. reset transaction. Entity/Debt Rating ----------- ------ AIMCO CLO 10, Ltd. A-1-R3 LT AAAsf New Rating A-2-R3 LT AAAsf New Rating B-R3 LT AAsf New Rating C-R3 LT Asf New Rating D-1-R3 LT BBB-sf New Rating D-2-R3 LT BBB-sf New Rating E-R3 LT BB-sf New Rating Subordinated LT NRsf New Rating X-R3 LT AAAsf New Rating Transaction Summary AIMCO CLO 10, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Allstate Investment Management Company. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.82, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.06% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.58% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R3, between 'Asf' and 'AA+sf' for class A-1-R3, between 'A-sf' and 'AA+sf' for class A-2-R3, between 'BBB-sf' and 'A+sf' for class B-R3, between 'B+sf' and 'A-sf' for class C-R3, between less than 'B-sf' and 'BBB-sf' for class D-1-R3, between less than 'B-sf' and 'BBB-sf' for class D-2-R3, and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R3, class A-1-R3 and class A-2-R3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AAsf' for class C-R3, 'A+sf' for class D-1-R3, 'A-sf' for class D-2-R3, and 'BBB+sf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for AIMCO CLO 10, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. AMAPS 5: Fitch Assigns 'BB(EXP)' Rating on Class C Notes -------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to AMAPS 5 LLC. Entity/Debt Rating ----------- ------ AMAPS 5 LLC Class A-1 Notes LT A+(EXP) Expected Rating Class A-2 Notes LT A+(EXP) Expected Rating Class A-3 Loans LT A+(EXP) Expected Rating Class B Notes LT BBB(EXP) Expected Rating Class C Notes LT BB(EXP) Expected Rating Equity LT NR(EXP) Expected Rating Transaction Summary AMAPS 5 LLC is a bankruptcy remote SPV that will issue rated debt and invest the proceeds in a highly diversified portfolio of underlying credit assets across a wide range of asset classes. These investments will be made via commitments to funds managed by Apollo Capital Management, L.P., and via direct purchases of assets in a separately managed account (SMA). KEY RATING DRIVERS Asset Quality and Diversity: The underlying portfolio is diverse and of higher credit quality when compared with a collateralized loan obligation (CLO). The average credit quality in the Fitch Expected Portfolio (FEP) is around 'BB', and the manager targets a minimum investment grade share of 40%. The portfolio will include more than 500 issuers initially, with the expectation being that obligor count will increase further as the underlying funds deploy capital over time. Exposure to a single issuer is capped at 5%. Investments are made across a broad spectrum of asset classes, including middle market lending, investment-grade corporate debt, real estate debt and other asset backed loans. Robust Structural Features: The transaction combines a higher rated and diversified portfolio with many of the structural protections commonly seen in CLO transactions. For example, there are separate interest and principal waterfalls, and loan-to-value (LTV) tests which allow cash to be diverted to note redemption rather than being paid to equity holders. These features are reflected in Fitch's cash flow modeling and support the ratings on the debt. Ramp-Up and Reinvestment Risk: The transaction has a 10-month ramp-up period followed by a five-year reinvestment period. Fitch has incorporated the impact of the extended risk horizon by stressing the weighted-average life (WAL) of the portfolio in its asset modeling by the length of the reinvestment period. Fitch has also assessed the track record and strategy of the manager alongside the portfolio targets and eligibility criteria included in the investment management agreement (IMA). Fitch views the risk of material adverse portfolio migration limited. Sophisticated Asset Manager: Apollo Capital Management, L.P. is the manager for the transaction. Fitch rates Apollo Global Management, Inc. at 'A'. Fitch considered the significant experience, size, resources and track record of Apollo as a manager. Fitch also considered aligned incentives and harmonized management and governance across the different credit funds to which AMAPS 5 is exposed. The strength of the manager has a positive impact on the rating. FX and Interest Rate Risk: The debt is issued in USD, but the documents allow for up to 30% of the underlying assets to be denominated in other currencies. There is an interest rate mismatch between assets and liabilities. A portion of the portfolio consists of fixed rate assets, while the vast majority of the liabilities are floating rate. These risks are hedged by Apollo on a dynamic basis. Fitch believes this substantially reduces the exposure but some residual risk remains. Fitch has accounted for this in its Qualitative Assessment. Exposure to Internally Rated and Unrated Assets: Approximately 27% of the indicative portfolio consists of assets only rated internally by Apollo. An additional 5% consists of assets with no rating at all. There is no limit on internally rated assets and unrated assets are limited to 10%. Fitch does not expect a material increase in these buckets based on the manager's communicated strategy and the track record from prior funds. Fitch has accounted for these risks in its modeling by applying downward adjustments to internal ratings to account for the additional uncertainty and assigning minimal credit to unrated equity tranches and alternative investments. Fitch has also reviewed Apollo's internal rating methodology. Additional Rating Constraint: The highest achievable rating is 'A+'. This is primarily due to the broad investment guidelines, high levels of manager discretion and the eligibility of some alternative investments in the portfolio. QRI and QA: Fitch derived a Quantitative Rating Indication (QRI) of 'aa+', 'a-' and 'bbb-' for class A, B and C, respectively. This was primarily informed by its quantitative asset and liability modeling. Fitch made a Qualitative Assessment of two notches, to account for risks not directly accounted for in the quantitative analysis (e.g. residual FX and interest rate risk, potential for deviance in the fully ramped portfolio from its FEP). Bringing together the QRI, QA and rating cap results in a final rating determination of 'A+', 'BBB' and 'BB' for classes A, B and C, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - A material deviance from communicated strategy of the manager. The investment guidelines leave room for the manager to exercise discretion. Fitch does not expect material deviance in the fully ramped portfolio from its FEP, noting the portfolio limits in place, Apollo's track record and the assets already within the relevant underlying funds. Moreover, the assigned ratings deliberately leave room for expected levels of portfolio fluctuation over time. Nevertheless, if the fully ramped portfolio ultimately has materially riskier characteristics than the FEP (e.g. lower credit quality, higher correlation, higher concentration, etc.), the ratings could be negatively affected. - Portfolio deterioration leading to sustained increase in LTV during the reinvestment period. However, the sensitivity of the rating to this factor is reduced by the adjustments Fitch has made to the risk horizon assumed in its analysis to account for the reinvestment period. - Lower than expected portfolio yield. The more junior tranches in particular show greater model-implied sensitivity to excess spread diverted under the LTV tests. The ratings are robust to moderate fluctuations in yield, especially because its analysis included sensitivity analysis around these assumptions. However, materially lower than expected portfolio yield could put pressure on the ratings, especially for mezzanine tranches. - Failure of the manager to manage interest rate and currency hedging. Fitch has given substantial credit to the manager's ability to hedge the various mismatches between the assets and liabilities. Fitch will monitor the performance of these hedges in its ongoing surveillance. Sustained losses on these hedges could lead to adjustments in its quantitative assumptions or QA adjustments. Fitch expects the more junior notes to be the most vulnerable to these factors given its subordinated position in the waterfall, greater reliance on excess spread and sub-investment grade rating. The most senior notes have the most resilience to portfolio deterioration and macroeconomic factors. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Sustained increases in net asset value during the reinvestment period. The manager has a long track record of generating positive returns on investment across numerous strategies and credit cycles. Fitch has assumed only downside stress scenarios in its rating analysis. Realized positive returns which build NAV over time would increase cushion at the assigned ratings and could eventually justify upgrades for the class B and C notes. - Benign reinvestment period. Fitch has extended the risk horizon assumed on corporate assets in the FEP to account for the reinvestment period. This stress will naturally taper down as the reinvestment period progresses. To the extent that significant stress hasn't materialized, this could put upward pressure on the ratings of the class A and B notes. CRITERIA VARIATION Fitch applied the following variations from the CLOs and Corporate CDOs Rating Criteria: Fitch gave partial credit to internal ratings assigned by Apollo to corporate debt, and full credit to ratings assigned by other NRSROs and the NAIC in its modeling (with only an adjustment to map instrument ratings to issuer ratings where applicable). The CLOs and Corporate CDOs Rating Criteria stipulate that Fitch uses Fitch ratings or the lowest of Moody's and S&P, or a 'CCC' rating if not rated by any of these agencies. The rationale for this variation is that the additional rating sources are a large and sophisticated asset manager with a proven track record of managing credit risk, NRSROs, or a regulatory support organization. Fitch estimates that the rating impact of this variation compared to applying the criteria approach (modeling all corporate assets not rated by Fitch, Moody's or S&P at CCC) is about 0 notches for class A, 1 notch for class B and 2 notches for class C. Fitch applied the following variations from the Structured Finance CDO Rating Criteria: Fitch used two additional sub-sectors in PCM beyond the standard ones stipulated in the criteria. This was to adequately account for the breadth of asset classes in which AMAPS is expected to invest, and to avoid overstating the level of correlation between those asset classes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. DATA ADEQUACY The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European Securities and Markets Authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information. Overall, Fitch's assessment of the asset pool information relied upon for its rating analysis according to its applicable rating methodologies indicates that it is adequately reliable. ESG Considerations Fitch does not provide ESG relevance scores for AMAPS 5 LLC. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ANCHORAGE CAPITAL 18: Fitch Assigns 'BB-sf' Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Anchorage Capital CLO 18, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Anchorage Capital CLO 18, Ltd. A-1 03331AAA9 LT PIFsf Paid In Full AAAsf A-1 Loans LT AAAsf New Rating A-1R LT AAAsf New Rating A-2 03331AAC5 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating SUB LT NRsf New Rating X-R LT AAAsf New Rating Transaction Summary Anchorage Capital CLO 18, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Collateral Management, L.L.C. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.81, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.63% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.32% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'BBB+sf' and 'AA+sf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R, class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1R, and 'A+sf' for class D-2R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Anchorage Capital CLO 18, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. APIDOS CLO XXXV: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Apidos CLO XXXV Reset Transaction: Entity/Debt Rating ----------- ------ Apidos CLO XXXV X-R LT NRsf New Rating A-1-R LT NRsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT NRsf New Rating Subordinated LT NRsf New Rating Transaction Summary Apidos CLO XXXV (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CVC Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.05. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 98.31% first-lien senior secured loans and has a weighted average recovery assumption of 72.95%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1-R, between less than 'B-sf' and 'BBB-sf' for class D-2-R and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Apidos CLO XXXV. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ARES LOAN V: Fitch Affirms 'BB-sf' Rating on Class E Notes ---------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares Loan Funding V, Ltd. refinancing notes. Fitch has also affirmed the ratings for the class D-1, D-2 and E notes. The Rating Outlooks for classes D-1, D-2 and E remain Stable. Entity/Debt Rating Prior ----------- ------ ----- Ares Loan Funding V, Ltd. A-1R LT AAAsf New Rating A-2 04020QAC4 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B 04020QAE0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 04020QAG5 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 04020QAJ9 LT BBB-sf Affirmed BBB-sf D-2 04020QAL4 LT BBB-sf Affirmed BBB-sf E 04020PAA0 LT BB-sf Affirmed BB-sf Transaction Summary Ares Loan Funding V, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Ares CLO Management LLC. The original transaction closed in June 2024 and this is the first refinancing. The refinanced secured notes will be redeemed in full using net proceeds from the issuance of the new secured refinancing notes. Together with the existing secured and subordinated notes, the refinancing transaction will finance a portfolio of approximately $398.9 million of primarily first lien senior secured leveraged loans (including principal cash). KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.06 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.2% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.01% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to extending the refinancing notes non-call period to June 2027 (one year from the original date) from June 2026. The stated maturity on the refinanced notes and the reinvestment period end date remain unchanged. The spread for the class A-1R, A-2R, B-R and C-R notes are 1.22%, 1.40%, 1.55% and 1.90%, respectively, compared to the spread of 1.50%, 1.70%, 1.90% and 2.35% for the class A-1, A-2, B, and C notes, respectively, at the original transaction in June 2024. The class D-1, D-2 and E notes are not refinanced and remain with the same spread of 3.45%, 4.60% and 6.60%, respectively. Fitch Test Matrices have been updated. Fitch Analysis The portfolio includes 404 assets from 350 primarily high-yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $398.9 million. As of the latest trustee report prior to the refinance date the transaction was not passing its weighted Average Coupon Test, Weighted Average Fitch Recovery Rate Test and Effective Date Overcollateralization Tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. Fitch has an explicit rating, credit opinion or private rating for 43.3% of the current portfolio par balance; ratings for 56.7% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15.0%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: 6.25 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 66.80%; - Maximum weighted average rating factor of 25.00; - Fixed-rate assets: 5.00%; - Minimum weighted average coupon of 6.50%. The transaction will exit its reinvestment period on July 25, 2029. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-1R: 'AAAsf' / Default 42.80% / Recovery 39.49% / Cushion 15.20%; - Class A-2R: 'AAAsf' / Default 42.80% / Recovery 39.49% / Cushion 12.50%; - Class B-R: 'AAsf' / Default 39.90% / Recovery 49.12% / Cushion 13.00%; - Class C-R: 'Asf' / Default 35.30% / Recovery 58.92% / Cushion 17.10%; - Class D-1: 'BBB-sf' / Default 27.20% / Recovery 69.12% / Cushion 18.40%; - Class D-2: 'BBB-sf' / Default 27.20% / Recovery 69.12% / Cushion 15.30%; - Class E: 'BB-sf' / Default 22.80% / Recovery 74.12% / Cushion 13.50%. FSP Model Outputs: - Class A-1R: 'AAAsf' / Default 49.80% / Recovery 35.90% / Cushion 4.50%; - Class A-2R: 'AAAsf' / Default 49.80% / Recovery 35.90% / Cushion 2.10%; - Class B-R: 'AAsf' / Default 46.70% / Recovery 41.80% / Cushion 0.00%; - Class C-R: 'Asf' / Default 41.60% / Recovery 51.80% / Cushion 3.60%; - Class D-1: 'BBB-sf' / Default 32.90% / Recovery 61.80% / Cushion 6.60%; - Class D-2: 'BBB-sf' / Default 32.90% / Recovery 61.80% / Cushion 2.60%; - Class E: 'BB-sf' / Default 27.70% / Recovery 66.80% / Cushion 2.80%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-1R, between 'A-sf' and 'AA+sf' for class A-2R, between 'BBB-sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BB+sf' for class D-2 and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'Asf' for class D-1, 'BBB+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares Loan Funding V, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ARES LXXXI: Fitch Assigns 'BB-sf' Rating on Class E Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Ares LXXXI CLO Ltd. Entity/Debt Rating Prior ----------- ------ ----- Ares LXXXI CLO Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated notes LT NRsf New Rating NR(EXP)sf Transaction Summary Ares LXXXI CLO Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Ares Capital Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.15 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.85% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.72% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1, between 'A-sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBBsf' for class D, and between less than 'B-sf' and 'B+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Ares LXXXI CLO Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. ASPIRE MORTGAGE 2026-3: S&P Assigns B (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Aspire Mortgage Trust 2026-3's mortgage-backed certificates. The certificate issuance is an RMBS securitization backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to prime and nonprime borrowers with a weighted average seasoning of three months. The mortgage loans have primarily 30-year maturities, though some have 40-year maturities and one has a 20-year maturity. The loans are secured by single-family residential properties, planned-unit developments, condominiums, two- to four-family residential properties, and a condotel. The pool consists of 917 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM/higher priced mortgage loan, non-QM/ability-to-repay-compliant (ATR-compliant), and ATR-exempt loans. S&P said, "After we assigned preliminary ratings on June 12, 2026, the issuer decided not to issue the class A-1A and A-1B certificates on the closing date. In turn, the certificate amounts of class A-1FCF, class A-1LCF, and exchangeable class A-1 were increased to $276.0 million from $138.0 million, to $92.0 million from $46.0 million, and to $368.0 from $184.0 million, respectively. The resized certificates did not change the credit enhancement on the transaction. After analyzing the final coupons and the updated structure, we assigned ratings to the classes and the ratings remain unchanged from the preliminary ratings. Further, we withdrew the preliminary ratings assigned to the class A-1A and A-1B certificates." The ratings reflect S&P's view of: -- The pool's collateral composition and geographic concentration; -- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework; -- The mortgage aggregator, Aspire Residential Conduit--Redwood Trust Inc.; -- The mortgage originators, including S&P Global Ratings-reviewed originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially." Ratings Assigned(i) Aspire Mortgage Trust 2026-3 Class A-1FCF, $276,000,000: AAA (sf) Class A-1LCF, $92,00,000: AAA (sf) Class A-1, $368,000,000: AAA (sf) Class A-2, $22,089,000: AA (sf) Class A-3, $37,274,000: A (sf) Class M-1, $17,348,000: BBB (sf) Class B-1, $10,081,000: BB (sf) Class B-2, $8,205,000: B (sf) Class B-3, $5,860,746: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, not applicable: NR Class LT-R, not applicable: NR (i)The ratings address the ultimate payment of interest and principal. They do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $468,857,746. NR--Not rated. BALBOA BAY 2024-1: S&P Assigns 'BB- (sf)' Rating on Cl. E-R Notes ----------------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-1-R, A-2-R, B-1-R, B-2-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R debt from Balboa Bay Loan Funding 2024-1 Ltd./Balboa Bay Loan Funding 2024-1 LLC, a CLO managed by Pacific Investment Management Co. LLC that was originally issued in June 2024. At the same time, S&P withdrew its ratings on the previous class A-1, A-2, B-1, B-2, C-1, C-2, D-1, D-2, and E debt following payment in full on the June 22, 2026, refinancing date. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to June 20, 2027. -- No additional assets were purchased on June 22, 2026, refinancing date, and the target initial par amount remains at $400 million. There is no additional effective date or ramp-up period and the first payment date following the refinancing is July 20, 2026. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-1-R, $244.00 million: Three-month CME term SOFR + 1.23% -- Class A-2-R, $16.00 million: Three-month CME term SOFR + 1.40% -- Class B-1-R, $34.00 million: Three-month CME term SOFR + 1.50% -- Class B-2-R, $10.00 million: 5.4460% -- Class C-1-R (deferrable), $16.00 million: Three-month CME term SOFR + 1.75% -- Class C-2-R (deferrable), $8.00 million: Three-month CME term SOFR + 2.00% -- Class D-1-R (deferrable), $21.00 million: Three-month CME term SOFR + 2.60% -- Class D-2-R (deferrable), $7.00 million: Three-month CME term SOFR + 4.40% -- Class E-R (deferrable), $12.00 million: Three-month CME term SOFR + 5.75% Previous debt -- Class A-1, $244.00 million: Three-month CME term SOFR + 1.51% -- Class A-2, $16.00 million: Three-month CME term SOFR + 1.70% -- Class B-1, $34.00 million: Three-month CME term SOFR + 1.85% -- Class B-2, $10.00 million: 5.9300% -- Class C-1 (deferrable), $16.00 million: Three-month CME term SOFR + 2.10% -- Class C-2 (deferrable), $8.00 million: Three-month CME term SOFR + 2.55% -- Class D-1 (deferrable), $21.00 million: Three-month CME term SOFR + 3.20% -- Class D-2 (deferrable), $7.00 million: Three-month CME term SOFR + 4.75% -- Class E (deferrable), $12.00 million: Three-month CME term SOFR + 6.25% -- Subordinated notes, $39.35 million: Not applicable S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Balboa Bay Loan Funding 2024-1 Ltd. / Balboa Bay Loan Funding 2024-1 LLC Class A-1-R, $244.00 million: 'AAA (sf)' Class A-2-R, $16.00 million: 'AAA (sf)' Class B-1-R, $34.00 million: 'AA (sf)' Class B-2-R, $10.00 million: 'AA (sf)' Class C-1-R (deferrable), $16.00 million: 'A+ (sf)' Class C-2-R (deferrable), $8.00 million: 'A(sf)' Class D-1-R (deferrable), $21.00 million: 'BBB (sf)' Class D-2-R (deferrable), $7.00 million: 'BBB- (sf)' Class E-R (deferrable), $12.00 million: 'BB- (sf)' Ratings Withdrawn Balboa Bay Loan Funding 2024-1 Ltd./ Balboa Bay Loan Funding 2024-1 LLC Class A-1 to NR from 'AAA (sf)' Class A-2 to NR from 'AAA (sf)' Class B-1 to NR from 'AA (sf)' Class B-2 to NR from 'AA (sf)' Class C-1 (deferrable) to NR from 'A+ (sf)' Class C-2 (deferrable) to NR from 'A (sf)' Class D-1 (deferrable) to NR from 'BBB (sf)' Class D-2 (deferrable) to NR from 'BBB- (sf)' Class E (deferrable) to NR from 'BB- (sf)' Other Debt Balboa Bay Loan Funding 2024-1 Ltd./ Balboa Bay Loan Funding 2024-1 LLC Subordinated notes, $39.35 million: NR NR--Not rated. BANK5 2026-5YR22: Fitch Assigns 'B-sf' Rating on Class G-RR Certs ----------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to BANK5 2026-5YR22 commercial mortgage pass-through certificates, series 2026-5YR22 as follows: - $1,563,000 class A-1 'AAAsf'; Outlook Stable; - $60,000,000 class A-2 'AAAsf'; Outlook Stable; - $521,284,000 class A-3 'AAAsf'; Outlook Stable; - $582,847,000 (a) class X-A 'AAAsf'; Outlook Stable; - $75,979,000 class A-S 'AAAsf'; Outlook Stable; - $43,713,000 class B 'AA-sf'; Outlook Stable; - $33,306,000 class C 'A-sf'; Outlook Stable; - $152,998,000 (a) class X-B 'A-sf'; Outlook Stable; - $28,101,000 (b) class D 'BBB-sf'; Outlook Stable; - $28,101,000 (a)(b) class X-D 'BBB-sf'; Outlook Stable; - $9,368,000 (b) class E 'BBsf'; Outlook Stable; - $9,368,000 (a)(b) class X-E 'BBsf'; Outlook Stable; - $8,326,000 (b)(c) class F 'BB-sf'; Outlook Stable; - $8,326,000 (a)(b) class X-F 'BB-sf'; Outlook Stable; - $11,449,000 (b)(c) class G-RR 'B-sf'; Outlook Stable. The following classes are not rated by Fitch: - $39,550,742 (b)(c) class H-RR; - $16,632,565 (b)(d) class RR; - $2,968,985 (b)(d) RR interest. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention. (d) Vertical risk retention. Since Fitch published its expected ratings on May 15, 2026, the balances for classes A-2 and A-3 were finalized. The initial certificate balance of class A-2 was expected to be in the range of $0 to $250,000,000 and the initial aggregate certificate balance of class A-3 was expected to be in the range of $331,284,000 to $581,284,000. The final class balances for classes A-2 and A-3 are $60,000,000 and $521,284,000, respectively. Transaction Summary The certificates represent the beneficial ownership interest in the trust, primary assets of which are 27 loans secured by 184 commercial properties having an aggregate principal balance of $852,241,292 as of the cut-off date. The loans were contributed to the trust by Wells Fargo Bank, National Association, JPMorgan Chase Bank, National Association, Morgan Stanley Mortgage Capital Holdings LLC and Bank of America, National Association. The master service is Trimont LLC and the special servicer is KeyBank National Association. The trustee is Deutsche Bank National Trust Company while the certificate administrator is Computershare Trust Company, National Association. BellOak, LLC is the operating advisor. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 19 loans totaling 90.5% by balance. Fitch's resulting NCF of $74.0 million represents an 11.3% decline from the issuer's underwritten NCF of $84.6 million. Higher Fitch Leverage: The pool's Fitch leverage is higher than average compared to recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 106.9% is higher than the 2026 YTD and higher than 2025 averages of 98.1% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 8.8% is lower than the 2026 YTD and 2025 averages of 10.6% and 9.7%, respectively. Shorter-Duration Loans: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default than 10-year loans, all else being equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. Investment-Grade Credit Opinion Loan: One loan representing 9.6% of the pool received an investment-grade credit opinion. Mountain Industrial Portfolio received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is slightly below the 2026 YTD and 2025 averages of 11.3% and 10.6%, respectively. Excluding the credit opinion loans, the pool's Fitch LTV and DY of 110.1% and 8.7%, respectively, are slightly worse than the equivalent conduit YTD 2026 LTV and DY averages of 103.9% and 11.0%, respectively. Lower Property Type Concentration: The pool has above average diversity by property type (as designated by Fitch) concentrations. Loans collateralized by office properties have the highest property type concentration at 22.5% of the pool, followed by industrial properties at 17.5%, multifamily at 16.2% and manufactured housing at 15.3%. No other property type comprises more than 10.3% of the pool. The Fitch effective property type count is 6.3, which is above both the YTD 2026 and 2025 averages of 4.7 and 5.5, respectively. Pools with a greater concentration by property type are at greater risk of losses, all else being equal. Fitch raises the overall loss for pools with effective property type counts below 5.0. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A reduction in cash flow decreases property value and capacity to meet its debt service obligations, which could result in negative ration action. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BB-sf'/'B+sf'/'Bsf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations, which could result in positive rating action. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BB+sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BANK5 2026-5YR23: Fitch Assigns 'B-(EXP)sf' Rating on 2 Tranches ---------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to BANK5 2026-5YR23 commercial mortgage pass -through certificates, series 2026-5YR23 as follows: - $3,800,000 class A-1 'AAA(EXP)sf'; Outlook Stable; - $175,000,000ab class A-2 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-2-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-2-X2 'AAA(EXP)sf'; Outlook Stable; - $602,102,000ab class A-3 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-3-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X1 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-3-X2 'AAA(EXP)sf'; Outlook Stable; - $108,768,000b class A-S 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-1 'AAA(EXP)sf'; Outlook Stable; - $0b class A-S-2 'AAA(EXP)sf'; Outlook Stable; - $0bc class A-S-X1 'AAA(EP)sf'; Outlook Stable; - $0bc class A-S-X2 'AAA(EXP)sf'; Outlook Stable; - $780,902,000c class X-A 'AAA(EXP)sf'; Outlook Stable; - $58,568,000b class B 'AA-(EXP)sf'; Outlook Stable; - $0b class B-1 'AA-(EXP)sf'; Outlook Stable; - $0b class B-2 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X1 'AA-(EXP)sf'; Outlook Stable; - $0bc class B-X2 'AA-(EXP)sf'; Outlook Stable; - $43,228,000b class C 'A-(EXP)sf'; Outlook Stable; - $0b class C-1 'A-(EXP)sf'; Outlook Stable; - $0b class C-2 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X1 'A-(EXP)sf'; Outlook Stable; - $0bc class C-X2 'A-(EXP)sf'; Outlook Stable; - $210,564,000c class X-B 'A-(EXP)sf'; Outlook Stable; - $36,257,000d class D 'BBB-(EXP)sf'; Outlook Stable; - $36,257,000cd class X-D 'BBB-(EXP)sf'; Outlook Stable; - $20,917,000d class E 'BB-(EXP)sf'; Outlook Stable; - $20,917,000cd class X-E 'BB-(EXP)sf'; Outlook Stable; - $15,339,000d class F 'B-(EXP)sf'; Outlook Stable; - $15,339,000cd class X-F 'B-(EXP)sf'; Outlook Stable. Fitch does not expect to rate the following classes: - $22,311,000de class G 'NR(EXP)sf'; - $22,311,000cd class X-G 'NR(EXP)sf'; - $29,284,541de class H 'NR(EXP)sf'; - $29,284,541cd class X-H 'NR(EXP)sf'; - $58,714,449.56de class RR'NR(EXP)sf'. (a) The initial certificate balances of classes A-2 and A-3 are unknown but expected to be $777,102,000 in aggregate, subject to a 5% variance. The certificate balances will be determined based on the final pricing of those class certificates. The expected class A-2 range is $0-$350,000,000, and the expected class A-3 balance range is $427,102,000- $777,102,000. Fitch's certificate balances for class A-2 reflect the midpoint of each range. In the event the class A-3 certificates are issued at $574,523,000, class A-2 will not be issued. (b) Exchangeable certificates; classes A-2, A-3, A-S, B, and C are exchangeable certificates. Each class of exchangeable certificates may be exchanged for the corresponding class of exchangeable certificates and vice versa. The dollar denomination of each of the certificates received must equal the dollar denomination of each of the surrendered certificates. (c) Notional amount and interest only. (d) Privately placed pursuant to Rule 144A. (e) Vertical risk retention interest. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 33 loans secured by 167 properties with an aggregate principal balance of $1,174,288,991 as of the cute off date. The loans were contributed to the trust by Morgan Stanley Mortgage Capital Holdings LLC, Bank of America, National Association, Wells Fargo Bank, National Association, Bank of America, National Association, Morgan Stanley Mortgage Capital Holdings LLC and JPMorgan Chase Bank, National Association, which will act as mortgage loan sellers. The master servicer is expected to be Midland Loan Services, a Division of PNC Bank, National Association, and the special servicer is expected to be Torchlight Loan Services. Trimont LLC is expected to act as primary servicer, performing duties delegated by the master servicer for certain mortgage loans sold to the depositor by Wells Fargo Bank, National Association, pursuant to a primary servicing agreement with the master servicer. The trustee and certificate administrator is expected to be Computershare Trust Company, National Association. BellOak, LLC will act as operating advisor and asset representations reviewer. The certificates are expected to follow a sequential paydown structure. The transaction's closing date is expected to be July 14, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings performed cash flow analyses on 19 loans totaling 85.5% of the pool by balance. Fitch's aggregated pool net cash flow (NCF) of $105,596,416 represents a 12.0% decline from the issuer's underwritten aggregate pool NCF of $119,938,811. Higher Fitch Leverage: The pool's Fitch leverage is higher than that of recent five-year multiborrower transactions rated by Fitch. The pool's Fitch loan-to-value ratio (LTV) of 104.0% is worse than the 2026 YTD five-year multiborrower transaction average of 98.1% and the 2025 five-year multiborrower transaction average of 101.0%. The pool's Fitch NCF debt yield (DY) of 9.0% is worse than the 2026 YTD average of 10.55% and the 2025 average of 9.7%. Investment Grade Credit Opinion Loans: One loan representing 7.7% of the pool received an investment-grade credit opinion on a standalone basis. Mountain Industrial Portfolio received a standalone credit opinion of 'A-sf*'. The pool's total credit opinion percentage is lower than the 2026 YTD and 2025 averages of 11.3% and 10.6%, respectively. Excluding the credit opinions loans, the pool's Fitch LTV and DY are 106.2% and 9.0%, respectively, compared with the equivalent five-year multiborrower 2026 YTD averages of 103.6% and 9.9%, respectively. Property-Type Concentration: The effective property type count is 54.60. The largest three property concentrations are office (32.5%), multifamily (16.3%) and industrial (11.0%). The pool's office concentration is higher than the 2026 YTD five-year multiborrower average of 22.7% and the 2025 five-year multiborrower average of 20.9%. There are two office loans in the top 10 largest loans in the pool which account for 10.5% of the pool. As such, Fitch applied a concentration add-on to account for the higher pool's office property-type concentration. Shorter-Duration Loan: Loans with five-year terms constitute 100% of the pool, whereas Fitch-rated multiborrower transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributable to the shorter window of exposure to potential adverse economic conditions. Fitch took into account its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade A reduction in cash flow decreases property value and capacity to meet its debt service obligations, which could result in negative ration action. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BB-sf'/'B-sf'/less than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Similarly, improvement in cash flow increases property value and capacity to meet its debt service obligations, which could result in positive rating action. The lists below indicate the model implied rating sensitivity to changes to the same variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAAsf'/'AAAsf'/'AA+sf'/'Asf'/'BBBsf'/'BB+sf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BBCMS MORTGAGE 2026-5C42: Fitch Assigns BB-sf Rating on 2 Tranches ------------------------------------------------------------------ Fitch has assigned final ratings and Ratings Outlooks to BBCMS Mortgage Trust 2026-5C42 commercial mortgage pass-through certificates, series 2026-5C42, as follows: - $7,993,000 Class A-1 'AAAsf'; Outlook Stable; - $52,192,000 Class A-2 'AAAsf'; Outlook Stable; - $383,291,000 Class A-3 'AAAsf'; Outlook Stable; - $443,476,000a Class X-A 'AAAsf'; Outlook Stable; - $75,233,000 Class A-S 'AAAsf'; Outlook Stable; - $29,301,000 Class B 'AA-sf'; Outlook Stable; - $22,174,000 Class C 'A-sf'; Outlook Stable; - $126,708,000ab Class X-B 'A-sf'; Outlook Stable; - $18,214,000b Class D 'BBB-sf'; Outlook Stable; - $18,214,000ab Class X-D 'BBB-sf'; Outlook Stable; - $11,879,000b Class E 'BB-sf'; Outlook Stable; - $11,879,000ab Class X-E 'BB-sf'; Outlook Stable. Fitch does not rate the following classes: - $12,671,000b Class F 'NRsf'; Outlook Stable; - $12,671,000ab Class X-F 'NRsf'; - $20,590,007bc Class G-RR 'NRsf'. (a) Notional amount and interest only. (b) Privately placed and pursuant to Rule 144A. (c) Horizontal risk retention. Transaction Summary The certificates represent the beneficial ownership interest in the trust, the primary assets of which are 37 loans secured by 58 commercial properties having an aggregate principal balance of $633,538,007 as of the cutoff date. The loans were contributed to the trust by Barclays Capital Real Estate INC., Starwood Mortgage Capital LLC, KeyBank National Association, Zions Bancorporation, N.A., German American Capital Corporation, Goldman Sachs Mortgage Company, Argentic Real Estate Finance 2 LLC, Citi Real Estate Funding Inc. and Societe Generale Financial Corporation. The master servicer is Midland Loan Services, a Division of PNC Bank, National Association and the special servicer is LNR Partners, LLC. Computershare Trust Company, National Association acts as the trustee and certificate administrator. The operating advisor and asset representations reviewer are Park Bridge Lender Services LLC. The certificates follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow (NCF): Fitch performed cash flow analyses on 24 loans totaling 89.0% of the pool by balance, including all of the largest 20 loans in the pool. Fitch's resulting NCF of $72,386,625 million represents a 13.5% decline from the issuer's underwritten NCF of $83,702,603 million. Fitch Leverage: The pool higher leverage is in line with those of recent U.S. private label multiborrower transactions rated by Fitch. The pool's Fitch loan to value ratio (LTV) of 92.6% compares favorably with the 2026 YTD and 2025 average of 98.1% and 101.0%, respectively. The pool's Fitch NCF debt yield (DY) of 11.4% is above the 2026 YTD and 2025 averages of 10.6% and 9.7%, respectively. Lower Pool Concentration: The pool is less concentrated than recently rated Fitch transactions. The top 10 loans in the pool represent 56.0% of the pool, which compares favorably with the 2026 YTD and 2025 five-year multiborrower averages of 60.8% and 61.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count, at 22.3, consistent with the 2026 YTD and 2025 averages of 22.3 and 21.8, respectively. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Shorter Duration Loans: The pool is 100% comprised of loans with five-year terms, whereas standard conduit transactions have historically included mostly loans with 10-year terms. Fitch's historical loan performance analysis shows that five-year loans have a modestly lower probability of default (PD) than 10-year loans, all else equal. This is mainly attributed to the shorter window of exposure to potential adverse economic conditions. Fitch considered its loan performance regression in its analysis of the pool. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% NCF Decline: 'AAAsf'/AAsf'/'A-sf'/'BBBsf'/'BB-sf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'AAAsf'/AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'; - 10% NCF Increase: 'AAAsf'/AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BB+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2020-B18: Fitch Lowers Rating on Cl. G-RR Notes to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded five classes and affirmed 10 classes of Benchmark 2020-B18 Mortgage Trust (BMARK 2020-B18). Classes E and X-D were assigned Negative Rating Outlooks following their downgrades. The Outlooks for classes B, C, D, and X-B remain Negative. Fitch has also affirmed 15 classes of Morgan Stanley Capital I Trust, commercial mortgage pass-through certificates, series 2016-BNK2 (MSC 2016-BNK2). The Outlooks for classes A-S, B, C, D, X-B, and X-D remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2020-B18 A-3 08163AAB9 LT AAAsf Affirmed AAAsf A-4 08163AAD5 LT AAAsf Affirmed AAAsf A-5 08163AAE3 LT AAAsf Affirmed AAAsf A-M 08163AAG8 LT AAAsf Affirmed AAAsf A-SB 08163AAC7 LT AAAsf Affirmed AAAsf B 08163AAH6 LT AA-sf Affirmed AA-sf C 08163AAJ2 LT BBBsf Affirmed BBBsf D 08163AAT0 LT BB+sf Affirmed BB+sf E 08163AAV5 LT B-sf Downgrade BB-sf F 08163AAX1 LT CCsf Downgrade B-sf G-RR 08163AAZ6 LT Csf Downgrade CCCsf X-A 08163AAF0 LT AAAsf Affirmed AAAsf X-B 08163AAM5 LT BBBsf Affirmed BBBsf X-D 08163AAP8 LT B-sf Downgrade BB-sf X-F 08163AAR4 LT CCsf Downgrade B-sf MSC 2016-BNK2 A-3 61690YBT8 LT AAAsf Affirmed AAAsf A-4 61690YBU5 LT AAAsf Affirmed AAAsf A-S 61690YBX9 LT AAAsf Affirmed AAAsf A-SB 61690YBS0 LT AAAsf Affirmed AAAsf B 61690YBY7 LT Asf Affirmed Asf C 61690YBZ4 LT BBsf Affirmed BBsf D 61690YAC6 LT Bsf Affirmed Bsf E 61690YAL6 LT CCCsf Affirmed CCCsf E-1 61690YAE2 LT CCCsf Affirmed CCCsf E-2 61690YAG7 LT CCCsf Affirmed CCCsf EF 61690YAU6 LT CCCsf Affirmed CCCsf F 61690YAS1 LT CCCsf Affirmed CCCsf X-A 61690YBV3 LT AAAsf Affirmed AAAsf X-B 61690YBW1 LT Asf Affirmed Asf X-D 61690YAA0 LT Bsf Affirmed Bsf KEY RATING DRIVERS 'Bsf' Loss Expectations: Deal-level 'Bsf' rating case losses for BMARK 2020-B18 have increased since Fitch's prior rating action to 8.0% compared to 5.5% at the prior rating action. For MSC 2016-BNK2, losses have increased to 11.6% from 9.0% at the prior rating action. The BMARK 2020-B18 transaction includes six Fitch Loans of Concern (FLOCs; 27.6% of the pool), including two specially serviced loans (8.7%). The MSC 2016-BNK2 transaction has eight FLOCs (45.0%), including four loans (14.8%) in special servicing. BMARK 2020-B18: The downgrades on classes E, F, G-RR, X-D and X-F reflect increased pool loss expectations since Fitch's prior rating action, primarily driven by higher-than-expected losses on the specially serviced 3000 Post Oak (4.7%) asset. The Negative Outlooks reflect possible downgrades if loss expectations on the specially serviced assets increase further due to updated lower valuations, and further FLOC performance deterioration. MSC 2016-BNK2: The affirmations reflect generally stable performance since Fitch's prior rating action and increased credit enhancement (CE). The Negative Outlooks reflect performance and refinance concerns for the FLOCs, particularly 101 Hudson Street (12.7%), Harlem USA (11.9%), Briarwood Mall (5.3%), and Marriott Albany (6.5%). Given the near-term loan maturities and increasing pool concentrations in the MSC 2016-BNK2 transaction, Fitch performed a look-through analysis, including the likelihood of repayment, to determine expected loan recoveries and losses based on the current loan status, collateral quality and performance. The Negative Outlooks reflect this analysis and reliance on proceeds from FLOCs to repay these classes. Largest Loss Contributors: The largest contributor to overall loss expectations in BMARK 2020-B18 is the 3000 Post Oak (4.7%) asset, which is a 19-story, 441,523-sf office building in Houston, TX. The asset transferred to the special servicer in August 2024 for imminent default related to the single tenant, Bechtel (98.9% of the NRA), vacating at the lease expiration in October 2024. Bechtel relocated 8.6 miles west to the Westchase area, occupying an office that is approximately half the size of 3000 Post Oak. The asset became real estate owned (REO) in May 2026 and is scheduled for auction in June 2026. Fitch's 'Bsf' rating case loss of 69.6% (prior to a concentration adjustment) is based on the most recent October 2025 valuation and reflects a value of approximately $57 psf, down from $326 psf at issuance. Fitch's 'Bsf' rating case loss for this loan at the prior rating action was 34.4%. The second-largest contributor to overall loss expectations in BMARK 2020-B18 is the Brass Professional Center (4.1%) loan, which is secured by an 11-building, 575,771-sf, multi-tenant office park located in NW San Antonio, TX. The asset transferred to special servicing in May 2023 for a payment default after the borrower stopped paying debt service in March 2023, and it became REO in October 2023. Property performance has declined since issuance, with December 2025 occupancy declining to 55% from 85% at issuance. The most recently reported NOI as of YE 2024 reflected a 70% decline from YE 2020 NOI and 66% decline from the originator's underwritten NOI at issuance. Fitch's 'Bsf' rating case loss of 50.8% (prior to a concentration adjustment) reflects a discount to the most recent December 2024 appraisal value, reflecting a stressed value of $64 psf. The largest contributor to overall loss expectations in MSC 2016-BNK2 is the Harlem USA (11.9%) loan, which is secured by a five-story multi-tenanted retail building located in the Harlem neighborhood of New York City and anchored by a 28,000-sf AMC Magic Johnson Cineplex. The property has been designated as a FLOC due to sustained performance declines and maturity default risk as the loan is set to mature in October 2026. As of YE 2025, occupancy was 75%, which is significantly below issuance at 95.0%. The servicer-reported net operating income (NOI) debt service coverage ratio (DSCR) for this interest-only (IO) loan was reported to be 2.05x as of YE 2025, compared to 1.71x at YE 2024, 1.68x at YE 2023, 1.77x at YE 2022, 1.65x at YE 2021 and 1.43x at YE 2020; the property NOI remains approximately 32.2% below issuance. Fitch's 'Bsf' rating case loss of 24.2% (prior to a concentration adjustment) is based on a 9.0% cap rate, 7.5% stress to the YE 2025 NOI, and factors in an increased probability of default due to refinancing concerns. The second-largest contributor to overall loss expectations in MSC 2016-BNK2 is the 101 Hudson Street (12.7%) loan, also the largest loan in the pool, which is secured by an office property totaling 1,351,373-sf located in Jersey City, NJ within the center of Jersey City's Waterfront district. The loan was designated a FLOC due to occupancy declines and loan performance below issuance expectations. The loan matures in October 2026. The property's largest tenants include Merril Lynch Pierce Fenner (28.9%, March 2027), Jefferies LLC, (4.7%, January 2035) and GBT US LLC (3.7%, November 2026). Occupancy has declined to 64% as of YE 2025 compared to 74% at YE 2022 and 98% at issuance. Upcoming rollover includes 6.0% of the NRA (Net Rentable Area) in 2026 and 31.3% of the NRA in 2027. The servicer-reported NOI DSCR was 2.58x as of YE 2025, compared with 2.62x as of YE 2024, 3.55x at YE 2023, and 2.74x at YE 2022. Fitch's 'Bsf' rating case loss of 22.2% (prior to a concentration adjustment) is based on a 9.0% cap rate, a 20.0% stress to the YE 2025 NOI to reflect the occupancy declines and a higher probability of default to account for upcoming rollover and refinancing concerns. The third-largest contributor to overall loss expectations in MSC 2016-BNK2 is the Briarwood Mall (5.3%) loan, which is secured by a 369,916-sf portion of a 978,034-sf super-regional mall in Ann Arbor, MI, approximately 2.5 miles from the University of Michigan. The sponsor, Simon Property Group, acquired the remaining interest in the subject property from joint venture partner General Motors Pension Trust in April 2025. The loan was designated a FLOC due to continued occupancy declines and refinancing concerns as the loan is maturing in September 2026. The servicer-reported NOI DSCR for this IO loan was 1.87x as of YE 2025, compared with 1.99x as of YE 2024, 1.94x at YE 2023, 2.04x at YE 2022, below pre-pandemic levels of 3.03x at YE 2019. Occupancy was reported at 75% at YE 2025, compared with 72% at YE 2024, 71% at YE 2023, 70% at YE 2022 and 87% at YE 2019 and 95% at issuance. The remaining non-collateral anchors are Macy's, JCPenney, and Von Maur. The former Sears site is being redeveloped as part of a mixed-use project that includes a Harvest Market grocery store, Dick's Sporting Goods, and a multifamily residential complex. Fitch's 'Bsf' rating case loss of 41.2% (prior to a concentration adjustment) is based on a 15.0% cap rate, a 7.5% stress to the YE 2023 NOI and a higher probability of default to account for refinancing concerns. Fitch also consider the loan's potential for refinancing, modification, or extension, given its continued performance during the loan term. Increase in CE: As of the May 2026 distribution date, the aggregate pool balances of the BMARK 2020-B18 and MSC 2016-BNK2 transactions have been reduced by 19.8% and 14.1%, respectively, since issuance. The BMARK 2020-B18 transaction includes two loans (1.2% of the pool) that have been fully defeased. Four loans (5.1%) are fully defeased in MSC 2016-BNK2. Interest Shortfalls: To date, the BMARK 2020-B18 and MSC 2016-BNK2 transactions have not incurred any realized principal losses. Interest shortfalls totaling $2.6 million are impacting the classes F, G-RR, non-rated class H-RR and risk retention class RRI in the BMARK 2020-B18 transaction. Interest shortfalls totaling $975,119 are impacting the non-rated class H-2 and risk retention class RRI in the MSC 2016-BNK2 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to 'AAAsf' rated classes with Stable Outlooks are not expected due to their high CE, senior position in the capital structure and expected payoff in the near term from defeased loans and those expected to repay at maturity, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades to 'AAsf' and 'Asf' category rated classes could occur in BMARK 2020-B18 if deal-level losses increase significantly from outsized losses on the specially serviced assets and FLOCs, particularly 3000 Post Oak, Brass Professional Center and 711 Fifth Avenue (6.0%). In the MSC 2016-BNK2 transaction, downgrades to these classes or the class rated 'AAAsf' with a Negative Outlook could occur if performance and valuation of the FLOCs, most notably 101 Hudson Street, Harlem USA, Marriott Albany, and Briarwood Mall, deteriorate further or if more loans than expected default at or prior to maturity. Downgrades to the 'BBsf' category rated class are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to 'CCCsf', 'CCsf', and 'Csf' rated classes would occur if additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated 'AAsf' and 'Asf' may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENCHMARK 2020-B21: Fitch Affirms 'Bsf' Rating on Two Tranches -------------------------------------------------------------- Fitch Ratings has affirmed 16 classes of Benchmark 2020-B21 Mortgage Trust (BMARK 2020-B21). The Rating Outlooks for classes B, C, and X-B were revised to Stable from Negative. The Outlooks for classes D, E, F, G, X-D, X-F, and X-G remain Negative. Entity/Debt Rating Prior ----------- ------ ----- BMARK 2020-B21 A-2 08163LAC3 LT AAAsf Affirmed AAAsf A-4 08163LAE9 LT AAAsf Affirmed AAAsf A-5 08163LAG4 LT AAAsf Affirmed AAAsf A-AB 08163LAJ8 LT AAAsf Affirmed AAAsf A-S 08163LAQ2 LT AAAsf Affirmed AAAsf B 08163LAS8 LT AA-sf Affirmed AA-sf C 08163LAU3 LT A-sf Affirmed A-sf D 08163LBC2 LT BBBsf Affirmed BBBsf E 08163LBE8 LT BBB-sf Affirmed BBB-sf F 08163LBG3 LT BBsf Affirmed BBsf G 08163LBJ7 LT Bsf Affirmed Bsf X-A 08163LAL3 LT AAAsf Affirmed AAAsf X-B 08163LAN9 LT A-sf Affirmed A-sf X-D 08163LBU2 LT BBB-sf Affirmed BBB-sf X-F 08163LAW9 LT BBsf Affirmed BBsf X-G 08163LAY5 LT Bsf Affirmed Bsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The affirmations reflect the generally stable pool performance and loss expectations since the prior rating action. Deal-level 'Bsf' rating case loss is 4.0% compared to 3.7% at the prior rating action. The transaction has eight Fitch Loans of Concern (FLOCs; 23.6% of the pool), including two loans (1.2%) in special servicing. The Outlook revisions for class B, C, and X-B reflect stable loss expectations and increased credit enhancement. The Negative Outlooks reflect performance concerns regarding the specially serviced loans and FLOCs — particularly, The Standard (2.8%) and 32-42 Broadway (7.3%). Future downgrades are possible if performance deteriorates further or if there are additional transfers to special serving. Largest Contributors to Loss: The largest contributor to overall loss expectations is The Standard loan (2.8%), which is secured by a 284,459-sf office property located in Farmington Hills, MI. The property's occupancy declined to 35% as of the December 2025 servicer-provided rent roll, due to the former largest tenant, TD Auto Finance (previously 55% of the NRA) vacating the property upon lease expiration in May 2025. The other remaining tenant in the property is Centria Healthcare (34.9% of NRA, leased through November 2033). The servicer-reported NOI DSCR was 1.11x as of YE 2025, compared to 1.82x at YE 2024, 2.38x at YE 2023, and 2.27x at YE 2022. The loan has remained current since issuance. According to CoStar, the property lies within the Farmington/Farm Hills Office Submarket of the Detroit, MI, market area. As of 1Q26, average rental rates were $21.30 psf and $22.47 psf for the submarket and market, respectively. Vacancy for the submarket and market was 15.5% and 11.8%, respectively. Fitch's 'Bsf' case loss of 26.1% (prior to a concentration adjustment) is based on a 10.50% cap rate to the YE 2025 NOI, and factors in an increased probability of default due to the loan's heightened default risk given the decline in occupancy. The second largest contributor to overall loss expectations is the Walgreens 9 Portfolio loan (2.9%), which is secured by a portfolio comprised of nine single-tenant retail properties leased to Walgreens; all leases expire in February 2035. The properties are located within six states including two properties in Illinois, two properties in Tennessee, two properties in South Carolina, one property in Missouri, one property in Texas and one property in Michigan. Although the portfolio is 100% occupied, overall portfolio rental income has steadily declined since 2022. The servicer-reported NOI DSCR was 0.95x as of YE 2025, down from 1.63x at YE 2024, 2.40x at YE 2023, and 2.39x at YE 2022. Fitch requested information regarding the reason for the decline in income, but did not receive a response. The loan has remained current since issuance and there are currently no outstanding servicer advances. Fitch's 'Bsf' case loss of 22.2% (prior to a concentration adjustment) is based on a 10.0% cap rate and 15% stress to the YE 2024 NOI. The third largest contributor to overall loss expectations is the 32-43 Broadway (7.3%) loan, which is secured by two interconnected office buildings totaling 521,573 sf located in Manhattan, NY. Major tenants include the City of New York Department of Consumer Affairs (17.4% of NRA; 16.3% leased through September 2027, 1.1% in August 2029) and the City of New York Board of Elections (11.6%; 8.9% leased through February 2027, 2.7% in February 2028). Occupancy was 72.6% as of the servicer-provided March 2026 rent roll, compared to 71.6% at YE 2025, 71% at September 2024, and 76% at YE 2023. The servicer-reported NOI DSCR was 1.54x as of YE 2025, down from 2.03x at YE 2024, 2.53x at YE 2023, and 2.58x at YE 2022. According to CoStar, the property lies within the Financial District Office Submarket of the New York, NY, market area. As of 1Q26, average rental rates were $54.52 psf and $64.76 psf for the submarket and market, respectively. Vacancy for the submarket and market was 20.2% and 12.9%, respectively. Fitch's 'Bsf' case loss of 7.8% (prior to a concentration adjustment) is based on a 9.25% cap rate and 15% stress to the YE 2024 NOI. Increase in Credit Enhancement (CE): As of the June 2026 remittance reporting, the pool's aggregate principal balance has been reduced by 5.2% since issuance. Twenty-one loans (73.2%) are full term, interest-only. Fourteen loans (21.6%) have a partial, interest-only component, all of which have begun amortizing. There are currently no defeased loans in the pool. Interest Shortfalls: To date, the BMARK 2020-B21 transaction has not incurred any realized principal loss. Interest shortfalls totaling $142,844 are affecting the non-rated class H and risk retention class RRI. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes are not likely due to the senior position in the capital structure, high CE and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to occur. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from outsized losses on larger FLOCs or more loans than expected experience performance deterioration or default at or before maturity. Downgrades to the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with higher than expected losses from continued underperformance of the FLOCs, particularly The Standard and 32-42 Broadway, with deteriorating performance or with greater certainty of losses on FLOCs. Downgrades to distressed ratings would occur should additional loans be transferred to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE, coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BENEFIT STREET V-B: Fitch Assigns 'BB-sf' Rating on Cl. E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Benefit Street Partners CLO V-B, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Benefit Street Partners CLO V-B, Ltd. A-1RR LT NRsf New Rating A-2R 08181JAK8 LT PIFsf Paid In Full AAAsf A-2RR LT AAAsf New Rating B-R 08181JAM4 LT PIFsf Paid In Full AA+sf B-RR LT AAsf New Rating C-R 08181JAP7 LT PIFsf Paid In Full A+sf C-RR LT Asf New Rating D-1R 08181JAR3 LT PIFsf Paid In Full BBB+sf D-1RR LT BBB-sf New Rating D-2R 08181JAT9 LT PIFsf Paid In Full BBB-sf D-2RR LT BBB-sf New Rating E-R 08181KAD1 LT PIFsf Paid In Full BB+sf E-RR LT BB-sf New Rating Transaction Summary Benefit Street Partners CLO V-B, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) which originally closed in May 2018 and was first reset on June 2024 will be managed by Benefit Street Partners L.L.C.. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.81, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.52% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.5% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 47.5% of the portfolio balance in aggregate while the top five obligors can represent up to 7.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'A-sf' for class C-RR, between less than 'B-sf' and 'BBBsf' for class D-1RR, and between less than 'B-sf' and 'BBB-sf' for class D-2RR and between less than 'B-sf' and 'BB-sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, 'A+sf' for class D-1RR, and 'A+sf' for class D-2RR and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Benefit Street Partners CLO V-B, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. BIKE 2026-BAND: Moody's Assigns Ba2 Rating to 2 Tranches -------------------------------------------------------- Moody's Ratings has assigned definitive ratings to five classes of CMBS securities, issued by BIKE 2026-BAND Pass-Through Trust, Commercial Mortgage Pass-Through Certificates, Series 2026-BAND: Cl. A, Definitive Rating Assigned A2 (sf) Cl. B, Definitive Rating Assigned Baa3 (sf) Cl. C, Definitive Rating Assigned Ba2 (sf) Cl. HRR, Definitive Rating Assigned Ba2 (sf) Cl. X-IO*, Definitive Rating Assigned Baa2 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The certificates are collateralized by a first lien mortgage on the borrower's fee simple interest in a 533,889 SF Class A office campus located in downtown Raleigh, NC (the "Property"). The Property is 100% leased to Bandwidth, Inc. ("Bandwidth") and serves as the company's global headquarters. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The Property is a newly delivered (2023), 534K SF Class A office campus with approximately 460K SF of office space, a 31K SF Montessori-based childcare center, a 29K SF fitness center, and more than 13K SF of meeting and event space across two buildings. Designed by Gensler, the 22-acre campus includes a five-story office building with an open layout and large floor plates averaging about 92K SF. The Property is 100% leased to Bandwidth, Inc. on a NNN lease expiring in July 2043, with no early termination options. The lease has a remaining lease term of approximately 17.2 years or 12.2 years beyond the full extended loan term. The Property was built to consolidate Bandwidth's existing operations into a single, integrated campus designed to encourage collaboration and in-person work, where employees are in office five days a week. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology and Moody's Approach to Rating Structured Finance Interest-Only (IO) Securities. The rating approach for securities backed by single loans compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.47X and Moody's first mortgage stressed DSCR is 1.24X. Moody's DSCR is based on Moody's stabilized net cash flow. The loan first mortgage balance of $140,839,695 represents a Moody's LTV ratio of 95.7% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is also 95.7% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and considers those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property quality grade is 2.00. Notable strengths of the transaction include: new construction / superior asset quality, long-term NNN lease with no rollover, purpose-built tenant headquarters, and location/accessibility. Notable concerns of the transaction include: single tenant concentration, re-tenanting risk, soft office market fundamentals, floating-rate, interest-only loan profile, single asset transaction, and credit negative legal features. The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. With respect to classes with ratings above the applicable sovereign rating, significant exposure to defeasance may also lead to a downgrade. BMO 2024-5C4: Fitch Lowers Rating on Two Tranches to 'Bsf' ---------------------------------------------------------- Fitch Ratings has downgraded three and affirmed 11 classes of BMO 2024-5C4 Mortgage Trust (BMO 2024-5C4). The Rating Outlooks for classes E and X-D were revised to Negative from Stable. Classes F and X-F were assigned Negative Outlooks following their downgrades. Additionally, Fitch has affirmed 13 classes of BMO 2024-5C5 Mortgage Trust (BMO 2024-5C5). The Rating Outlooks for classes E-RR, F-RR, and G-RR were revised to Negative from Stable. Fitch has also affirmed 13 classes of BMO 2024-5C7 Mortgage Trust (BMO 2024-5C7). The Rating Outlooks for classes F-RR and G-RR were revised to Negative from Stable. Entity/Debt Rating Prior ----------- ------ ----- BMO 2024-5C7 A-1 09660WAS0 LT AAAsf Affirmed AAAsf A-2 09660WAT8 LT AAAsf Affirmed AAAsf A-3 09660WAU5 LT AAAsf Affirmed AAAsf A-S 09660WAX9 LT AAAsf Affirmed AAAsf B 09660WAY7 LT AA-sf Affirmed AA-sf C 09660WAZ4 LT A-sf Affirmed A-sf D 09660WAC5 LT BBBsf Affirmed BBBsf E-RR 09660WAE1 LT BBB-sf Affirmed BBB-sf F-RR 09660WAG6 LT BB-sf Affirmed BB-sf G-RR 09660WAJ0 LT B-sf Affirmed B-sf X-A 09660WAV3 LT AAAsf Affirmed AAAsf X-B 09660WAW1 LT A-sf Affirmed A-sf X-D 09660WAA9 LT BBBsf Affirmed BBBsf BMO 2024-5C5 A-1 05593RAA0 LT AAAsf Affirmed AAAsf A-2 05593RAB8 LT AAAsf Affirmed AAAsf A-3 05593RAC6 LT AAAsf Affirmed AAAsf A-S 05593RAF9 LT AAAsf Affirmed AAAsf B 05593RAG7 LT AA-sf Affirmed AA-sf C 05593RAH5 LT A-sf Affirmed A-sf D 05593RAL6 LT BBBsf Affirmed BBBsf E-RR 05593RAN2 LT BBB-sf Affirmed BBB-sf F-RR 05593RAQ5 LT BB-sf Affirmed BB-sf G-RR 05593RAS1 LT B-sf Affirmed B-sf X-A 05593RAD4 LT AAAsf Affirmed AAAsf X-B 05593RAE2 LT A-sf Affirmed A-sf X-D 05593RAJ1 LT BBBsf Affirmed BBBsf BMO 2024-5C4 A-1 09660SAS9 LT AAAsf Affirmed AAAsf A-2 09660SAT7 LT AAAsf Affirmed AAAsf A-3 09660SAU4 LT AAAsf Affirmed AAAsf A-S 09660SAX8 LT AAAsf Affirmed AAAsf B 09660SAY6 LT AA-sf Affirmed AA-sf C 09660SAZ3 LT A-sf Affirmed A-sf D 09660SAE0 LT BBBsf Affirmed BBBsf E 09660SAG5 LT BBB-sf Affirmed BBB-sf F 09660SAJ9 LT Bsf Downgrade BB-sf G-RR 09660SAL4 LT CCCsf Downgrade B-sf X-A 09660SAV2 LT AAAsf Affirmed AAAsf X-B 09660SAW0 LT AAAsf Affirmed AAAsf X-D 09660SAA8 LT BBB-sf Affirmed BBB-sf X-F 09660SAC4 LT Bsf Downgrade BB-sf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: The deal-level 'Bsf' rating case loss is 4.68% for BMO 2024-5C4, 4.89% for BMO 2024-5C5, and 4.55% for BMO 2024-5C7, compared with 3.71%, 4.75%, and 4.36%, respectively, at Fitch's last rating action. Fitch Loans of Concern (FLOCs) comprise nine loans (13.9%) in BMO 2024-5C4, including two specially serviced loans (2.2%); eight loans (19.0%) in BMO 2024-5C5, including two specially serviced loans (7.4%); and five loans (9.7%) in BMO 2024-5C7, including one specially serviced loan (1.8%). The downgrades in BMO 2024-5C4 reflect increased pool loss expectations since Fitch's last rating action, driven primarily by the specially serviced Euclid Apartments (1.7%) and several other delinquent multifamily loans. The Negative Outlooks across all three transactions reflect the potential for future downgrades due to prolonged workout timelines and/or valuation declines on the specially serviced loans, as well as further performance deterioration among the FLOCs. Largest Contributors to Loss Expectations: The largest contributor to loss expectations in BMO 2024-5C4 is the Euclid Apartments (1.7%) loan, which is secured by a 738-unit multifamily property in Euclid, OH. The loan transferred to special servicing in February 2025 following payment default. Foreclosure, receivership, and guarantor enforcement actions were subsequently initiated. It was also discovered that the borrower provided fraudulent property insurance certificates and the property has been uninsured since issuance. Although the borrower's bankruptcy delayed the receivership process, the automatic stay was lifted in November 2025 and the case was dismissed in March 2026. A foreclosure is expected to be completed in the near term with the servicer continuing to pursue judgment enforcement against the guarantor. Due to borrower mismanagement, the property is in poor condition and requires significant capital expenditure to address life safety issues and comply with local codes and regulations. The receiver is currently implementing a lender-approved rehabilitation plan that includes structural and foundation repairs, upgrades to commons areas and sewer lines, mechanical system improvements and interior unit renovations. The loan was originated by LMF Commercial, LLC. Occupancy has declined to 38% as of April 2026 from 95% at issuance. Fitch's 'Bsf' case loss of 76.4% (prior to a concentration adjustment) is based on an updated appraisal and reflects a recovery value of approximately $24,500 per unit. Higher loss expectations in BMO 2024-5C4 are also driven by a group of four delinquent multifamily loans: 352 Meeker Avenue (2.5%), 55 Borinquen Place (1.5%), La Provence Apartments (0.6%), and 1281 Hoe Avenue (1.0%). Overall performance of these loans remains generally in line with issuance expectations, and the delinquencies appear to be related to idiosyncratic borrower-related issues. Fitch is monitoring the performance of these assets and will assess whether the delinquencies are cured. The largest contributor to loss expectations in BMO 2024-5C5 is the Pointe & Oak Shadows loan (3.3%), which is secured by two multifamily properties in Texas. Pointe Apartments is a 518-unit multifamily property comprising 47 two-story residential buildings in Pasadena, TX, while Oak Shadows Apartments is a 182-unit multifamily property comprising nine two-story residential buildings in Houston, TX. The loan transferred to special servicing in March 2025 following a payment default. Following the transfer to special servicing, a title search identified liens senior to the trust's mortgage. A title insurance claim has been filed, with trial scheduled for March 2027. The special servicer has also initiated legal action against the guarantor and issued a repurchase notice to Starwood Mortgage Capital, LLC, the loan's originator, to cure the defect, repurchase the loan, or substitute a qualified loan. Fitch's 'Bsf' case loss of 16.3% (prior to a concentration adjustment) reflects a 15% stress to the issuance net operating income, a 9% cap rate and an elevated probability of default due to the special serviced status Fitch which equates to a stressed value of approximately $63,000/unit. The other specially serviced loan in BMO 2024-5C5 is the Gateway Multifamily Portfolio (4.1%) loan, which is secured by a three-property multifamily portfolio totaling 593 units in St. Louis, MO. The loan transferred to special servicing in October 2025 due to payment default. A pre-negotiation letter (PNL) has been executed, and a borrower proposal is under review by the special servicer. Occupancy declined to 46% as of March 2026 from 95% at issuance. Fitch's 'Bsf' case loss of 5.2% (prior to a concentration adjustment) is based on a 30% stress to the issuance appraisal due to poor property condition as evidenced by inspection reports from November 2025 and the lack of an updated value. The largest contributor to loss expectations in BMO 2024-5C7 is the AL & SC Multifamily Portfolio loan, which is secured by four multifamily properties in Alabama and South Carolina. The loan is considered a FLOC due to the delinquency status (the loan is 60 days past due as of the May 2026 reporting period). The borrower has not provided an explanation for the delinquency. The DSCR as of September 2025 was 1.03x, compared with 1.45x at issuance. Fitch's 'Bsf' case loss of 27.0% (prior to a concentration adjustment) is based on the Fitch issuance net cash flow, and an 8.75% cap rate as well as an elevated probability of default due to the loan's delinquent status. The specially serviced loan in BMO 2024-5C7 is the 5 East Apartments loan (1.8%), which is secured by a 268-unit multifamily property in Baton Rouge, LA. The loan transferred to special servicing in April 2026 due to imminent default, driven by a significant decline in occupancy since issuance. The borrower has submitted a forbearance request, which is under review by the lender. A pre-negotiation agreement was executed at the end of April 2026. Occupancy was 79% as of March 2026, down from 87% in September 2025 and 96% at issuance. The DSCR for the TTM period ending September 2025 was 0.99x, compared with 1.41x at issuance. Fitch's 'Bsf' case loss of 1.0% (prior to a concentration adjustment) reflects a 7.5% haircut to the YE 2025 NOI and a 8.75% cap rate which equates to a Fitch stressed value of approximately $72,500/unit. Changes in Credit Enhancement (CE): As of the May 2026 distribution date, the aggregate balances of the BMO 2024-5C4, BMO 2024-5C5, and BMO 2024-5C7 transactions have been reduced by 0.2%, 0.2%, and 0%, respectively, since issuance. No loans have been defeased in the transactions. Interest Shortfalls: Interest shortfalls totaling $396,895 are impacting the non-rated class J-RR and risk retention class VRR in the BMO 2024-5C4 transaction, interest shortfalls totaling $1,805,735 are impacting the non-rated risk retention class J-RR in the BMO 2024-5C5 transaction, and interest shortfalls totaling $10,545 are impacting non-rated risk retention class J-RR in the BMO 2024-5C7 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to the 'AAAsf' rated classes are not expected due to the position in the capital structure and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur; - Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur if deal-level losses increase significantly from higher losses on FLOCs, most notably Euclid Apartments in BMO 2024-5C4, Gateway Multifamily Portfolio and The Pointe & Oak Shadows in BMO 2024-5C5 and AL & SC Multifamily Portfolio in BMO 2024-5C7, and/or more loans than expected experience performance deterioration and/or default at or prior to maturity; - Downgrades to classes in the 'BBBsf', 'BBsf' and 'Bsf' categories are possible with further loan performance deterioration of FLOCs, additional transfers to special servicing, and/or with greater certainty of losses on the specially serviced loans and/or FLOCs; In BMO 2024-5C4, further downgrades are possible if Euclid Apartments continues to erode in value and/or have significant increases in exposure. - Downgrades to the distressed class in BMO 2024-5C4 would occur as losses become more certain and/or losses are incurred. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased credit enhancement (CE), coupled with stable-to-improved pool-level loss expectations and improved performance on the FLOCs; - Upgrades to the 'BBBsf' and 'BBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is the likelihood of interest shortfalls; - Upgrades to 'BBsf' and 'Bsf' category rated classes could occur only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected, and there is sufficient CE to the classes; - Upgrades to distressed classes are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRAVO RESIDENTIAL 2026-NQM5: Fitch Rates Class B2 Notes 'B-sf' -------------------------------------------------------------- Fitch Ratings has assigned final ratings to BRAVO Residential Funding Trust 2026-NQM5 (BRAVO 2026-NQM5). Entity/Debt Rating Prior ----------- ------ ----- BRAVO 2026-NQM5 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1F LT AAAsf New Rating AAA(EXP)sf A1FCF LT AAAsf New Rating AAA(EXP)sf A1IO LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1PT LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf XS LT NRsf New Rating NR(EXP)sf Transaction Summary Fitch re-ran its asset analysis and cash flow stress tests and confirmed that there was no change in the expected ratings for each class. The notes are supported by 950 loans with a total balance of approximately $494 million as of the cutoff date. Citadel Servicing Corporation (dba Acra Lending) Guaranteed Rate, Inc. and Change Lending, LLC originated approximately 43.9%, 14.8% and 12.1% of the pool, respectively, and all are considered 'Acceptable' originators by Fitch. No other originator contributed more than 10% of the pool. Following servicing transfers after the closing date, Citadel and Rocket Mortgage LLC, dba Rushmore Servicing will service 57.7% and 42.3% of the loans, respectively. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Mixed): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. BRAVO 2026-NQM5 has a final probability of default (PD) of 43.6% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 40.4%. The expected loss in the 'AAAsf' rating stress is 17.6%. The pool consists of 950 primarily newly originated non-qualified mortgage (non-QM or NQM) loans with a Fitch FICO of 743 and a weighted average (WA) original combined loan-to-value ratio (CLTV) of 69.0%. Fitch considers approximately 87.3% of the pool to be non-prime. About 13.9% of the loans in the pool are full documentation; the remaining loans are non-full documentation, including debt service coverage ratio (DSCR; 41.3%), bank statement (36.6%) and other program (8.2%) loans. DSCR loans receive a slight reduction in the non-full documentation PD penalty; however, the DSCR all-in treatment remains more punitive than for fully documented, borrower-underwritten loans. Roughly 43.1% of borrowers are self-employed or have unknown employment status. In addition, approximately 4.9% of the loans were originated to foreign nationals (including individual taxpayer identification number [ITIN] borrowers) and are therefore subject to a PD penalty due to the perceived weaker connection to the property. Structural Analysis (Positive): The mortgage cash flow and loss allocation in BRAVO 2026-NQM5 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior notes while shutting out the subordinate bonds from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the senior notes until they are reduced to zero. Principal on the collective class A-1 designated notes (specifically, the A-1FCF, A-1LCF, A-1F, A1-IO, A-1A and A-1B notes) will be allocated either pro rata or sequentially among themselves, as set out in the priority of payments. The structure includes a step-up coupon feature where the fixed interest rate for class A-1, A-2 and A-3 will increase by 100bps, subject to the net WA coupon (WAC), starting on the June 2030 payment date. This reduces the modest excess spread available to repay losses. Starting on the June 2030 payment date, interest distribution amounts otherwise allocable to the unrated class B-3, to the extent available, may be used to reimburse any unpaid cap carryover amount for class A-1FCF, A-1LCF, A-1F, A-1IO, A-1A, A-1B, A-2 and A-3 notes. The provision for principal amounts to pay any unpaid interest prior to principal distribution is highly supportive of timely interest payments to the notes in the absence of principal and interest (P&I) advancing. Fitch analyzes the capital structure to determine the adequacy of the transaction's Credit Enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings was sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers aggregator, originator and servicer capability, and the transaction-specific representation, warranty and enforcement (RW&E) framework as qualitative inputs to its RMBS ratings framework. These counterparty assessments are conducted and updated on a regular cadence independent of any specific RMBS rating, and Fitch uses a risk-based framework — considering contribution share and collateral profile — to determine which parties warrant review. The only consideration that has a direct impact on Fitch's loss expectations is the third-party due diligence results. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applies a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm deemed 'Acceptable' by Fitch and that have a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects BRAVO 2026-NQM5 to be fully de-linked and bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers align with Fitch expectations. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.5% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by multiple third-party review firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustments to its analysis: A 5% probability of default credit was applied at the loan level for all loans graded either A or B. DATA ADEQUACY Fitch relied on an independent third-party due diligence review covering 100% of the pool. The scope was generally consistent with Fitch's "U.S. RMBS Rating Criteria." Loans reviewed under this engagement received compliance, credit, and valuation grades, with initial and final grades assigned for each subcategory. Exceptions and waivers were documented in the due diligence reports and incorporated into Fitch's analysis. Fitch also used data files provided by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information in ASF data layout format, which was considered comprehensive. The due diligence firms reviewed the ASF data tape, and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BRIDGE COMMERCIAL 2026-MF: Fitch Rates Class HRR Certs 'Bsf' ------------------------------------------------------------ Fitch Ratings has assigned the following final ratings and Ratings Outlooks to Bridge Commercial Mortgage Trust 2026-MF, Commercial Mortgage Pass Through Certificates, Series 2026-MF. - $343,100,000 class A 'AAAsf'; Outlook Stable; - $54,600,000 class B 'AA-sf'; Outlook Stable; - $42,800,000 class C 'A-sf'; Outlook Stable; - $60,300,000 class D 'BBB-sf'; Outlook Stable; - $76,750,000 class E 'BB- sf'; Outlook Stable; - $20,000,000 class F 'B+sf'; Outlook Stable; - $31,450,000a class HRR 'Bsf'; Outlook Stable. (a) Horizontal risk retention interest representing at least 5.0% of the estimated fair value of all classes. Transaction Summary The certificates represent the beneficial interests in a trust that holds a two-year, floating-rate, interest-only (IO) mortgage loan with three one-year extension options. The mortgage is secured by the borrowers' fee simple interests in 11 multifamily properties totaling 4,956 units, located across six states and seven markets (Dallas, Atlanta, Las Vegas, Phoenix, Orlando, Tampa and San Diego). The properties comprise garden-style multifamily communities. Loan proceeds will refinance approximately $469.4 million in prior debt, return $152.8 million in equity to the sponsor and pay $6.8 million in closing costs. The borrower sponsors acquired the properties between 2018 and 2021 and have invested approximately $94.9 million ($19,417 per unit) in capital improvements since 2018. At closing, the borrower sponsors will have a cost basis of over $835.7 million and approximately $206.7 million of cash equity remaining in the portfolio. The loan is sponsored by Bridge Multifamily Fund IV International Master LP, Bridge Multifamily Fund IV-A LP and Bridge Multifamily Fund IV LP, each a Delaware limited partnership affiliated with Bridge Investment Group. The certificates follow a pro rata paydown structure for prepayments of the initial 30% of the loan amount and a standard senior sequential paydown structure thereafter. The mortgage loan has no additional debt. The loan is originated by Wells Fargo Bank, National Association, JPMorgan Chase Bank, National Association, Morgan Stanley Bank, N.A. and Atlas SP Commercial Mortgage, L.P. KeyBank National Association is the master servicer, with CWCapital Asset Management LLC as special servicer. Computershare Trust Company, National Association acts as trustee, certificate administrator and custodian. BellOak, LLC acts as operating advisor. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch assumed a stressed net cash flow (NCF) for the portfolio at $45.3 million and a 7.75% cap rate to derive a Fitch value of approximately $584.1 million ($117,851 per unit). High Fitch Leverage: The $629.0 million whole loan equates to debt of approximately $126,917 per unit, with a Fitch stressed loan-to-value ratio (LTV) and debt yield of 107.7% and 7.2%, respectively. Geographic Diversity: The portfolio is secured by 11 multifamily properties located in six states and seven MSAs. The three largest state concentrations by allocated loan amount (ALA) are Texas (29.7% of ALA; two properties), Georgia (23.4% of ALA; three properties) and Florida (18.0% of ALA; three properties). The three largest markets by ALA are Dallas, TX (29.7% of ALA; 29.2% of unit count), Atlanta, GA (23.4% of ALA; 28.8% of unit count) and Las Vegas, NV (17.4% of ALA; 17.4% of unit count). The portfolio has effective MSA and property counts of 5.10 and 7.85, respectively. Institutional Sponsorship: The loan is sponsored by Bridge Multifamily Fund IV International Master LP, Bridge Multifamily Fund IV-A LP and Bridge Multifamily Fund IV LP, affiliates of Bridge Investment Group. Bridge Investment Group is an alternative investment manager with approximately $121.0 billion in assets under management (AUM), across specialized asset classes, and experience of over 16 years. In September 2025, Apollo Global Management, Inc. completed a take-private acquisition of Bridge, becoming its ultimate parent entity. Apollo is a global alternative investment manager with $938.4 billion in AUM across credit, equity and real assets. The sponsor has approximately $206.7 million of cash equity remaining in the transaction. The properties are managed in-house by affiliates of the sponsors, with Bridge's principals averaging more than 20 years of experience in local and capital markets. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'; - 10% NCF Decline: 'AAsf'/BBB+sf '/'BBB-sf'/'BBsf'/'Bsf'/'B-sf'/'CCC+sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model implied rating sensitivity to changes to the same one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'B+sf'/'Bsf'; - 10% NCF Increase: 'AAAsf'/'AA+sf '/'A+sf'/'BBB+sf'/'BB+sf'/'BBsf'/'BB-sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. BX COMMERCIAL 2026-ORBT: Fitch Rates Class HRR Certs 'B-(EXP)sf' ---------------------------------------------------------------- Fitch Ratings has assigned the following expected ratings and Rating Outlooks to BX Commercial Mortgage Trust 2026-ORBT commercial mortgage pass-through certificates, series 2026-ORBT: - $670,200,000 class A 'AAA(EXP)sf'; Outlook Stable; - $90,900,000 class B 'AA(EXP)sf'; Outlook Stable; - $108,800,000 class C 'A(EXP)sf'; Outlook Stable; - $179,000,000 class D 'BBB-(EXP)sf'; Outlook Stable; - $195,400,000 class E 'BB-(EXP)sf'; Outlook Stable; - $114,200,000 class F 'B(EXP)sf'; Outlook Stable; - $71,500,000 class HRR 'B-(EXP)sf'; Outlook Stable. Transaction Summary The certificates represent the beneficial ownership interest in a trust that will hold a $1.43 billion, two-year, floating-rate, interest-only mortgage loan, subject to three one-year extension options. The loan will be secured by a first mortgage lien against the borrower's fee simple and leasehold interests in a portfolio of 84 properties, including 79 industrial facilities (98.0% of NRA), three office properties (2.0%) and two excess land parcels, comprising approximately 13.1 million sf located across 12 states and 12 markets. Mortgage loan proceeds are being used to refinance approximately $805.0 million of existing debt, pay $38.3 million in closing costs and return approximately $515.3 million in equity to the borrower. The loan is being co-originated by German American Capital Corporation, Natixis Real Estate Capital LLC, Royal Bank of Canada and Bank of America, N.A. KeyBank National Association is expected to serve as the servicer and as the special servicer. Computershare Trust Company, National Association will act as both the trustee and certificate administrator. The certificates will follow a pro-rata paydown with respect to prepayments of up to 30% of the initial loan balance and a standard senior-sequential paydown thereafter. The transaction is scheduled to close on July 9, 2026. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch Ratings' stressed net cash flow (NCF) for the portfolio is estimated at $89.5 million. This is 9.2% lower than the issuer's NCF. Fitch applied a 7.25% cap rate to derive a Fitch value of $1.23 billion. Leasehold Exposure: The loan is secured by 84 properties, including the leasehold interests in seven properties. Of the total leasehold interests, four feature ground lease maturity dates within 15 years of loan maturity. To account for ground lease expiration risk, Fitch fully excluded all revenue and expenses attributable to these four properties in its cash flow analysis. The remaining three leasehold properties feature ground lease maturity dates 25 years beyond the fully extended loan maturity date. To account for ground lease expiration risk, Fitch calculated the shortfall between the net present value of these three properties against its standard Fitch value and adjusted the Fitch NCF downward by $170,681. High Fitch Leverage: The $1.43 billion trust loan equates to debt of $109 psf with a Fitch stressed debt service coverage ratio of 0.76x, a loan-to-value ratio of 115.9% and a debt yield of 6.3%. The loan represents about 74.1% of the appraiser-concluded portfolio value of $1.93 billion and 76.2% of the aggregate as-is appraised value of the individual properties of $1.88 billion. Geographic Diversity: The portfolio is well diversified, with 84 properties (13.1 million sf) located across 12 states and 12 markets. The three largest state concentrations by size are Florida (2.7 million sf; 20 properties), Pennsylvania (2.3 million sf; seven properties) and Virginia (2.3 million sf; 13 properties). The three largest markets by allocated loan amount are Central Florida (20.5% of NRA; 24.2% of allocated loan amount [ALA]), PA I-78/I-81 Corridor (17.5% of NRA; 13.4% of ALA) and Baltimore-DC (9.2% of NRA; 12.2% of ALA). The portfolio has an effective MSA count of 11.9 and 168 unique tenants. Institutional Sponsorship: The loan is sponsored by BREIT Orbit Depositor LLC, an affiliate of Blackstone Inc. Blackstone is recognized as one of the world's leading investment firms, managing assets across private equity, real estate, public debt and equity, infrastructure, life sciences, growth equity, opportunistic and non-investment-grade credit, real assets and secondary funds. The portfolio in this transaction will be managed by Link Logistics, an affiliate of the sponsor. Link Logistics has a nationwide footprint totaling approximately 470 million sf of logistics real estate across over 3,000 properties. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Decline: 'AA+sf'/'A+sf'/'BBBsf'/'BBsf'/'Bsf'/'CCC+sf'/'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAsf'/'Asf'/'BBB-sf'/'BB-sf'/'Bsf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAAsf'/'AAsf'/'BBB+sf'/'BBsf'/'BB-sf'/'B+sf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Ernst & Young LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to the mortgage loan. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CARLYLE US 2019-4: Fitch Assigns 'BB-sf' Rating on Class E-R2 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Carlyle US CLO 2019-4, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Carlyle US CLO 2019-4, Ltd. X-R2 LT NRsf New Rating A-1R2 LT NRsf New Rating A-2R2 LT AAAsf New Rating B-R2 LT AAsf New Rating C-R2 LT Asf New Rating D-R2 LT BBB-sf New Rating E-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Carlyle US CLO 2019-4, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Carlyle CLO Management L.L.C. The transaction originally closed in January 2020 and was refinanced in February 2022. On June 22, 2026, all existing secured notes will be redeemed in full using net proceeds from the issuance of the new secured notes and subordinated notes. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $550 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.11 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.08% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.16% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R2, between 'BB+sf' and 'A+sf' for class B-R2, between 'Bsf' and 'A-sf' for class C-R2, between less than 'B-sf' and 'BBB-sf' for class D-R2 and between less than 'B-sf' and 'B+sf' for class E-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R2, 'AA+sf' for class C-R2, 'A+sf' for class D-R2 and 'BBB+sf' for class E-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Carlyle US CLO 2019-4, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CARMAX SELECT 2026-B: Fitch Assigns 'BBsf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by CarMax Select Receivables Trust 2026-B (CMXS 2026-B). Entity/Debt Rating Prior ----------- ------ ----- CarMax Select Receivables Trust 2026-B A-1 ST F1+sf New Rating F1+(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBsf New Rating BB(EXP)sf KEY RATING DRIVERS Collateral — Subprime Credit Quality: CMXS 2026-B has stronger credit quality than subprime peers, with a weighted-average (WA) FICO score of 613, slightly up from 612 in 2026-A. Loans with original terms greater than 60 months total 88.2% of the collateral pool, slightly lower than 89.4% for 2026-A. Similar to the prior CMXS transactions, the pool is primarily backed by used vehicles, with ValuMax collateral making up 39.0% of the pool. The WA loan-to-value ratio (LTV) is 97.7%, down from 98.4% in 2026-A. The pool is diverse by geography and model. SUVs account for the largest vehicle segment in the pool at 52.2%, in line with the shift in consumer preference toward SUVs over cars in recent years. Electric vehicles (EVs) make up approximately 2.3% of the pool. Forward-Looking Approach to Derive Rating-Case Loss Proxy: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series rating case loss proxy. Loss performance for the non-prime portfolio peaked in 2016 after beginning originations in 2014 and experienced subsequent improvement in 2018. While the 2019 and 2020 vintages of CBS's managed portfolio benefited from government stimulus, net losses on the 2021 through 2023 vintages are currently tracking higher than all prior vintages due to impacts from continuing economic headwinds and decline in used vehicle values off peak pandemic levels. The 2024 and 2025 vintage performance is tracking better than the weaker 2022 and 2023 vintages, though still higher than pre-pandemic vintages. In deriving the forward-looking rating-case cumulative net loss (CNL) proxy, Fitch utilized 2007-2009 peer proxy data, together with the 2006-2008 data from the lower credit quality segment of CAF's core portfolio as proxy recessionary managed portfolio data. To reflect recent performance, Fitch also utilized 2022-2024 vintage data from CAF. The CNL proxy is 10.00%, consistent with 2026-A but up from 9.25% in 2025-B, and 9.00% in 2025-A and 2024-A. Payment Structure — Adequate Credit Enhancement (CE): Initial hard CE totals 31.75%, 25.25%, 16.25%, 8.50%, and 4.50% for classes A, B, C, D and E, respectively. This is up significantly to all classes in 2026-A. Initial expected excess spread is 8.88%, which is slightly lower than the 9.85% in 2026-A. Initial CE is sufficient to withstand Fitch's rating-case CNL proxy of 10.00% at the applicable rating loss multiples. Operational and Servicer Risk — Adequate Origination/Underwriting/Servicing: CBS demonstrates adequate abilities as underwriter and servicer, as evidenced by historical portfolio delinquency, loss experience and securitization performance. Fitch deems CBS capable to service this series. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 9.00% based on Fitch's "Global Economic Outlook - June 2026" report, historical performance and projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels that are higher than the rating case and would likely result in declines of CE and remaining net loss coverage levels available to the notes. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively affect CE levels. Additionally, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions and examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the rating case CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade (BBsf) and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Additionally, Fitch conducts a 1.5x and 2.0x increase to the rating case CNL proxy, representing both moderate and severe stresses, respectively. Fitch also evaluates the impact of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Conversely, stable to improved asset performance, driven by stable delinquencies and defaults, would lead to increasing CE levels and consideration for potential upgrades. If the CNL is 20% less than the projected rating case proxy, the ratings for the subordinate notes could be upgraded by up to five notches. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on comparing or recomputing certain information with respect to 125 loans from the statistical data file. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The concentration of approximately 2.3% of electric vehicles in the pool did not have an impact on Fitch's ratings, rating analysis or conclusions for this transaction. Therefore, it has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CARVAL CLO V-C: Fitch Assigns 'B-sf' Rating on Class F-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the CarVal CLO V-C Ltd. reset transaction. Entity/Debt Rating ----------- ------ CarVal CLO V-C Ltd. X LT AAAsf New Rating A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating F-R LT B-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary CarVal CLO V-C Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CarVal CLO Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $425 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.86, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.56% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.25% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'BBB+sf' and 'AA+sf' for class A-1-R, between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'BBB+sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1-R, between less than 'B-sf' and 'BBB-sf' for class D-2-R, and between less than 'B-sf' and 'B+sf' for class E-R and less than 'B-sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1-R, 'A+sf' for class D-2-R, and 'BBB+sf' for class E-R and 'BBB-sf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CarVal CLO V-C, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CHASE HOME 2026-AGY1: Moody's Assigns (P)B3 Rating to Cl. B-5 Certs ------------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to 94 classes of residential mortgage-backed securities (RMBS) to be issued by Chase Home Lending Mortgage Trust 2026-AGY1, and sponsored by JPMorgan Chase Bank, N.A. (JPMCB). The securities are backed by a pool of conforming residential mortgages originated and serviced by JPMorgan Chase Bank, N.A. The loans were GSE-eligible (100% by balance). The complete rating actions are as follows: Issuer: Chase Home Lending Mortgage Trust 2026-AGY1 Cl. A-1, Assigned (P)Aaa (sf) Cl. A-2, Assigned (P)Aaa (sf) Cl. A-3, Assigned (P)Aaa (sf) Cl. A-3-A, Assigned (P)Aaa (sf) Cl. A-3-B, Assigned (P)Aaa (sf) Cl. A-3-X1*, Assigned (P)Aaa (sf) Cl. A-3-X2*, Assigned (P)Aaa (sf) Cl. A-3-X3*, Assigned (P)Aaa (sf) Cl. A-4, Assigned (P)Aaa (sf) Cl. A-4-A, Assigned (P)Aaa (sf) Cl. A-4-B, Assigned (P)Aaa (sf) Cl. A-4-X1*, Assigned (P)Aaa (sf) Cl. A-4-X2*, Assigned (P)Aaa (sf) Cl. A-4-X3*, Assigned (P)Aaa (sf) Cl. A-5, Assigned (P)Aaa (sf) Cl. A-5-A, Assigned (P)Aaa (sf) Cl. A-5-B, Assigned (P)Aaa (sf) Cl. A-5-X1*, Assigned (P)Aaa (sf) Cl. A-5-X2*, Assigned (P)Aaa (sf) Cl. A-5-X3*, Assigned (P)Aaa (sf) Cl. A-6, Assigned (P)Aaa (sf) Cl. A-6-A, Assigned (P)Aaa (sf) Cl. A-6-B, Assigned (P)Aaa (sf) Cl. A-6-X1*, Assigned (P)Aaa (sf) Cl. A-6-X2*, Assigned (P)Aaa (sf) Cl. A-6-X3*, Assigned (P)Aaa (sf) Cl. A-7, Assigned (P)Aaa (sf) Cl. A-7-A, Assigned (P)Aaa (sf) Cl. A-7-B, Assigned (P)Aaa (sf) Cl. A-7-X1*, Assigned (P)Aaa (sf) Cl. A-7-X2*, Assigned (P)Aaa (sf) Cl. A-7-X3*, Assigned (P)Aaa (sf) Cl. A-8, Assigned (P)Aaa (sf) Cl. A-8-A, Assigned (P)Aaa (sf) Cl. A-8-B, Assigned (P)Aaa (sf) Cl. A-8-X1*, Assigned (P)Aaa (sf) Cl. A-8-X2*, Assigned (P)Aaa (sf) Cl. A-8-X3*, Assigned (P)Aaa (sf) Cl. A-9, Assigned (P)Aa1 (sf) Cl. A-9-A, Assigned (P)Aa1 (sf) Cl. A-9-B, Assigned (P)Aa1 (sf) Cl. A-9-X1*, Assigned (P)Aa1 (sf) Cl. A-9-X2*, Assigned (P)Aa1 (sf) Cl. A-9-X3*, Assigned (P)Aa1 (sf) Cl. A-10, Assigned (P)Aaa (sf) Cl. A-10-A, Assigned (P)Aaa (sf) Cl. A-10-B, Assigned (P)Aaa (sf) Cl. A-10-X1*, Assigned (P)Aaa (sf) Cl. A-10-X2*, Assigned (P)Aaa (sf) Cl. A-10-X3*, Assigned (P)Aaa (sf) Cl. A-11, Assigned (P)Aaa (sf) Cl. A-11-X*, Assigned (P)Aaa (sf) Cl. A-12, Assigned (P)Aaa (sf) Cl. A-13, Assigned (P)Aaa (sf) Cl. A-13-X*, Assigned (P)Aaa (sf) Cl. A-14, Assigned (P)Aaa (sf) Cl. A-14-X*, Assigned (P)Aaa (sf) Cl. A-14-X2*, Assigned (P)Aaa (sf) Cl. A-14-X3*, Assigned (P)Aaa (sf) Cl. A-14-X4*, Assigned (P)Aaa (sf) Cl. A-15, Assigned (P)Aaa (sf) Cl. A-15-A, Assigned (P)Aaa (sf) Cl. A-15-B, Assigned (P)Aaa (sf) Cl. A-15-X1*, Assigned (P)Aaa (sf) Cl. A-15-X2*, Assigned (P)Aaa (sf) Cl. A-15-X3*, Assigned (P)Aaa (sf) Cl. A-16, Assigned (P)Aaa (sf) Cl. A-16-A, Assigned (P)Aaa (sf) Cl. A-16-B, Assigned (P)Aaa (sf) Cl. A-16-X1*, Assigned (P)Aaa (sf) Cl. A-16-X2*, Assigned (P)Aaa (sf) Cl. A-16-X3*, Assigned (P)Aaa (sf) Cl. A-17, Assigned (P)Aaa (sf) Cl. A-17-A, Assigned (P)Aaa (sf) Cl. A-17-B, Assigned (P)Aaa (sf) Cl. A-17-X1*, Assigned (P)Aaa (sf) Cl. A-17-X2*, Assigned (P)Aaa (sf) Cl. A-17-X3*, Assigned (P)Aaa (sf) Cl. A-18, Assigned (P)Aaa (sf) Cl. A-18-A, Assigned (P)Aaa (sf) Cl. A-18-B, Assigned (P)Aaa (sf) Cl. A-18-X1*, Assigned (P)Aaa (sf) Cl. A-18-X2*, Assigned (P)Aaa (sf) Cl. A-18-X3*, Assigned (P)Aaa (sf) Cl. A-X-1*, Assigned (P)Aa1 (sf) Cl. B-1, Assigned (P)Aa3 (sf) Cl. B-1-A, Assigned (P)Aa3 (sf) Cl. B-1-X*, Assigned (P)Aa3 (sf) Cl. B-2, Assigned (P)A3 (sf) Cl. B-2-A, Assigned (P)A3 (sf) Cl. B-2-X*, Assigned (P)A3 (sf) Cl. B-3, Assigned (P)Baa3 (sf) Cl. B-4, Assigned (P)Ba3 (sf) Cl. B-5, Assigned (P)B3 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.47%, in a baseline scenario-median is 0.22% and reaches 7.27% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. CIFC FUNDING 2017-I: Fitch Assigns 'BB-sf' Rating on Cl. E-R3 Notes ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to CIFC Funding 2017-I, Ltd. refinancing notes. Entity/Debt Rating Prior ----------- ------ ----- CIFC Funding 2017-I, Ltd. - Reset A-R3 LT AAAsf New Rating A-RR 17181PAC3 LT PIFsf Paid In Full AAAsf B-R3 LT AAsf New Rating B-RR 17181PAE9 LT PIFsf Paid In Full AAsf C-R3 LT Asf New Rating C-RR 17181PAG4 LT PIFsf Paid In Full Asf D-R3 LT BBB-s New Rating D-RR 17181PAJ8 LT PIFsf Paid In Full BBB-sf E-R3 LT BB-sf New Rating E-RR 17181QAA5 LT PIFsf Paid In Full BB-sf Transaction Summary CIFC Funding 2017-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC CLO Management LLC. The transaction was last reset and rated by Fitch in February 2024. The CIFC 2017-I, Ltd. transaction originally closed in March 9, 2017 and was not rated by Fitch at that time. The existing secured notes will be refinanced in full except for the X note on the closing date, expected June 18, 2026. Net proceeds from the refinancing of the secured and subordinated notes will provide financing on a portfolio of approximately $471 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.59, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.64% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.36% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the first supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to: - Spreads have been reduced for all classes of refinanced notes. - The non-call period for the refinanced notes is extended to April 20, 2027. - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. - The Fitch recovery rate definition, Fitch industry definition and matrices have been amended to conform with Fitch's new criteria. The Fitch test matrices were updated to 24 matrices. FITCH ANALYSIS The portfolio includes 591 assets from 512 primarily high yield obligors. The portfolio balance (excluding defaults and including principal cash) is approximately $471 million. As of the latest trustee report prior to the refinance date the transaction was not passing its Minimum Weighted Average Recovery Rate test. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 17.0%, 14.0%, and 14.0%, respectively; - Assumed risk horizon: six years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 67.50%; - Maximum weighted average rating factor of 25.00; - Fixed rate Assets: 5.00%; - Minimum weighted average coupon of 7.50%; The transaction will exit its reinvestment period on April 21, 2029. Fitch Asset and Cash Flow Analysis: The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class A-R3: 'AAAsf' / Default 43.00% / Recovery 38.84% / Cushion 13.80% - Class B-R3: 'AAsf' / Default 39.80% / Recovery 48.24% / Cushion 11.90% - Class C-R3: 'Asf' / Default 35.30% / Recovery 58.07% / Cushion 14.70% - Class D-R3: 'BBB-sf' / Default 27.00% / Recovery 68.15% / Cushion 16.60% - Class E-R3: 'BB-sf' / Default 22.40% / Recovery 73.21% / Cushion 10.50% Fitch Stress Portfolio (FSP) Model Outputs: - Class A-R3: 'AAAsf' / Default 49.90% / Recovery 36.25% / Cushion 4.80% - Class B-R3: 'AAsf' / Default 46.30% / Recovery 42.50% / Cushion 0.00% - Class C-R3: 'Asf' / Default 41.30% / Recovery 52.50% / Cushion 3.80% - Class D-R3: 'BBB-sf' / Default 32.40% / Recovery 62.50% / Cushion 6.70% - Class E-R3: 'BB-sf' / Default 27.20% / Recovery 67.50% / Cushion 1.20% RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AAAsf' for class A-R3, between 'BBB-sf' and 'A+sf' for class B-R3, between 'B+sf' and 'A-sf' for class C-R3, and between less than 'B-sf' and 'BBB-sf' for class D-R3 and between less than 'B-sf' and 'B+sf' for class E-R3. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-R3 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AAsf' for class C-R3, and 'A+sf' for class D-R3 and 'BBB+sf' for class E-R3. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for CIFC Funding 2017-I, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CIFC FUNDING 2022-II: Moody's Cuts Rating on Class F Notes to B3 ---------------------------------------------------------------- Moody's Ratings has downgraded the rating on the following notes issued by CIFC Funding 2022-II, Ltd.: US$5,015,000 Class F Junior Secured Deferrable Floating Rate Notes due 2035, Downgraded to B3 (sf); previously on March 31, 2022 Assigned B2 (sf) CIFC Funding 2022-II, Ltd. originally issued in March 2022 and refinanced in February 2025, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period will end in April 2027. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The downgrade rating action on the Class F notes reflects the specific risks to the junior notes posed by par loss and credit deterioration observed in the underlying CLO portfolio. Based on the trustee's May 2026[1] report, the total collateral par balance, including recoveries from defaulted securities, is $491,930,254, or $8,069,746 less than the $500,000,000 initial par amount targeted during the deal's ramp-up. Furthermore, the trustee-reported weighted average spread (WAS) has been deteriorating and the current level is 3.04%[2], compared to 3.28% in May 2025[3]. No actions were taken on the Class A-1R Notes, Class A-1LR Loans, Class A-2R Notes and Class E-R Notes because their expected losses remain commensurate with their current ratings, after taking into account the CLO's latest portfolio information, its relevant structural features and its actual over-collateralization and interest coverage levels. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score, weighted average spread, and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Performing par and principal proceeds balance: $491,930,254 Diversity Score: 89 Weighted Average Rating Factor (WARF): 2727 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.66% Weighted Average Life (WAL): 5 years In addition to base case analysis, Moody's ran additional scenarios where outcomes could diverge from the base case. The additional scenarios consider one or more factors individually or in combination, and include: defaults by obligors whose low ratings or debt prices suggest distress, defaults by obligors with potential refinancing risk, deterioration in the credit quality of the underlying portfolio, and, lower recoveries on defaulted assets. Methodology Underlying the Rating Action: The principal methodology used in this rating was "Collateralized Loan Obligations" published in April 2026. Factors that Would Lead to an Upgrade or Downgrade of the Rating: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. COLLEGIATE FUNDING 2005-B: Fitch Lowers Cl. A-4 Notes Rating to Bsf ------------------------------------------------------------------- Fitch Ratings has downgraded class A-4 notes on Collegiate Funding Services Education Loan Trust 2005-B (CFS 2005-B) to 'Bsf' from 'BBsf'. The downgrade reflects the notes' failure to pass all credit and maturity stresses under Fitch's cash flow modeling. The Rating Outlook is Stable. Fitch has also affirmed the class B notes at 'Bsf' with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Collegiate Funding Services Education Loan Trust 2005-B A-4 19458LBH2 LT Bsf Downgrade BBsf B 19458LBJ8 LT Bsf Affirmed Bsf Transaction Summary For the current review, CFS 2005-B class B notes continue to fail all credit and maturity stresses under Fitch's cash flow modeling. The resulting model-implied rating for class B is 'CCCsf', and the one-category rating difference is permissible under Fitch's "Federal Family Education Loan Program (FFELP) Rating Criteria". The Stable Outlook on these notes reflects that the legal final maturity is nearly 10 years away and performance remains in line with the prior review. The rating is supported by qualitative factors, such as Navient Solutions, LLC's ability as the servicer to call the notes upon reaching 10% pool factor. KEY RATING DRIVERS U.S. Sovereign Risk: The trust collateral comprises Federal Family Education Loan Program (FFELP) loans with guaranties provided by eligible guarantors and reinsurance provided by the U.S. Department of Education (ED) for at least 97% of principal and accrued interest. The U.S. sovereign rating is currently 'AA+'/Outlook Stable. Collateral Performance: Based on transaction-specific performance to date, Fitch recommends maintaining its sCDR of 2.5% and the sCPRat 7.0%. The 'AAsf' and base case default rate is 41.25% and 15.00%, respectively. After applying the default timing curve per criteria, the 'AA' and base case effective default rate are unchanged. The TTM levels of deferment, forbearance, and IBR are 2.8%, 4.6% and 25.14%, respectively. These assumptions are used as the starting point in cash flow modelling and subsequent declines or increases are modelled as per criteria. The claim reject rate is assumed to be 0.25% in the base case and 1.65% in the 'AA' case. As of the latest distribution date, the 31- 60 DPD dropped to 2.21% from 3.56% one-year prior, and the 91-120 DPD also decreased to 1.04% from 1.66%. Borrower benefits are 0.26% based on information provided by the sponsor. Basis and Interest Rate Risk: Basis risk for the transactions arise from any rate and reset frequency mismatch between interest rate indices for SAP and the securities. As of the most recent collection period, all of the trust student loans for CFS 2005-B are indexed to 90-day average SOFR. Fitch applies its standard basis and interest rate stresses to the transactions as per criteria. Payment Structure: Credit enhancement (CE) is provided by overcollateralization, excess spread, and for the class A notes, subordination of the class B notes. As of the most recent distribution date, the reported total parity/asset percentage was 107.43%. Liquidity support is provided by a reserve account. The transaction is not releasing cash. Operational Capabilities: As of 2024, day-to-day servicing is provided by MOHELA while Navient Solutions, LLC maintains administrative agent capabilities. Fitch believes Navient to be an acceptable servicer, due to its extensive track record as one of the largest servicers of FFELP loans. MOHELA is also deemed to be an acceptable servicer as a servicer for government and commercial enterprises. On Jan. 29, 2024, Navient entered into a binding letter of intent to transition student loan servicing to MOHELA. The transition occurred in October 2024 and has not affected servicing activities. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade 'AA+sf' rated tranches of most FFELP securitizations will likely move in tandem with the U.S. sovereign rating given the strong linkage to the U.S. sovereign, by nature of the reinsurance provided by the ED. Aside from the U.S. sovereign rating, defaults, basis risk and loan extension risk account for the majority of the risk embedded in FFELP student loan transactions. This section provides insight into the model-implied sensitivities the transactions face when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage, and prepayments. The results below should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. Fitch conducts credit and maturity stress sensitivity analysis by increasing or decreasing key assumptions by 25% and 50% over the base case. The credit stress sensitivity is viewed by stressing both the base case default rate and the basis spread. The maturity stress sensitivity is viewed by stressing remaining term, IBR usage and prepayments. The results below should only be considered as one potential outcome, as the transactions are exposed to multiple dynamic risk factors and should not be used as an indicator of possible future performance. Credit Stress Rating Sensitivity - Default increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Default increase 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread increase 0.5%: class A 'CCCsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage increase 50%: class A 'CCCsf'; class B 'CCCsf'. - Remaining Term increase 25%: class A 'CCCsf'; class B 'CCCsf'; - Remaining Term increase 50%: class A 'CCCsf'; class B 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Credit Stress Rating Sensitivity - Default decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - Default decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread decrease 0.25%: class A 'CCCsf'; class B 'CCCsf'; - Basis Spread decrease 0.5%: class A 'AAAsf'; class B 'CCCsf'. Maturity Stress Rating Sensitivity - CPR decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - CPR decrease 50%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage decrease 25%: class A 'CCCsf'; class B 'CCCsf'; - IBR Usage decrease 50%: class A 'Bsf'; class B 'CCCsf'. - Remaining Term decrease 25%: class A 'AAAsf'; class B 'BBBsf'; - Remaining Term decrease 50%: class A 'AAAsf'; class B 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COLT 2026-5: Fitch Assigns 'BBsf' Final Rating on Class B2 Certs ---------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to the residential mortgage-backed certificates issued by COLT 2026-5 Mortgage Loan Trust (COLT 2026-5). Entity/Debt Rating Prior ----------- ------ ----- COLT 2026-5 A1 LT AAAsf New Rating AAA(EXP)sf A1FCF LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1A LT WDsf Withdrawn AAA(EXP)sf A1B LT WDsf Withdrawn AAA(EXP)sf A1F LT WDsf Withdrawn AAA(EXP)sf A1IO LT WDsf Withdrawn AAA(EXP)sf A2 LT AA+sf New Rating AA(EXP)sf A3 LT A+sf New Rating A(EXP)sf M1 LT BBB+sf New Rating BBB(EXP)sf B1 LT BBB-sf New Rating BB(EXP)sf B2 LT BBsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf X LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 623 nonprime loans with a total balance of approximately $361.3 million as of the cutoff date. Loans in the pool were originated by The Loan Store, Inc. and others. The loans were aggregated by Hudson Americas L.P. and are serviced by Select Portfolio Servicing, Inc. and Fay Servicing. The borrowers in the pool exhibit a moderate credit profile, with a weighted-average Fitch FICO of 749 and 32.5% debt-to-income ratio. The borrowers also have moderate leverage, with a 69.4% mark-to-market combined LTV. Overall, 36.7% of the pool loans are for primary residences, while the remainder are second homes or investment properties. In addition, 99.8% of the loans are clean and current. Since the publishing of Fitch's presale and expected ratings, the issuer provided final documentation that reflected the withdrawal of four classes: A-1A, A-1B, A-1F, and A-1IO. The class balances were reallocated among the remaining A-1 classes (A-1FCF and A-1LCF). In addition, a corresponding pricing structure was provided reflecting lower coupons between 25 and 46 bps for all the fixed-rate classes. Given the decreased priced coupons and increase in excess spread from 92 bps previously to 111 bps post-pricing (a 19-bp total increase), the updated structure passed at ratings higher than the relative expected ratings at the time of the presale. The class A-2, A-3, and M-1 certificates are one notch higher, the class B1 certificate is two notches higher, and the class B-2 certificate is three notches higher. Fitch has withdrawn the expected ratings of 'AAA(EXP)sf'/Stable from COLT 2026-5's class A-1A, A-1B, A-1F, and A-1IO notes as they were cancelled by the issuer and are no longer being issued. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. COLT 2026-5 had a final probability of default of 43.2% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 41.7%. The expected loss in the 'AAAsf' rating stress was 18.0%. Structural Analysis: The mortgage cash flow and loss allocation in COLT 2026-5 were based on a modified sequential-payment structure, whereby principal was distributed pro rata among the senior certificates (A-1FCF, A-1LCF, A-2, and A-3 classes) while excluding the subordinate bonds from principal until all senior classes were reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurred in a given period, principal was distributed sequentially to A-1 classes, then sequentially to A-2 and A-3 certificates until they were reduced to zero. Fitch analyzed the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE in the form of subordination and excess spread for a given rating exceeded the expected losses of that rating stress. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100% of the loans in the transaction. Fitch applied a 5-bps z-score reduction for loans fully reviewed by a third-party review firm which had a final grade of either A or B. Counterparty and Legal Analysis: All relevant transaction parties conformed with the requirements as described in Fitch's "Global Structured Finance Rating Criteria." Relevant parties were those whose failure to perform could have a material impact on transaction performance. In addition, all legal requirements were satisfied to fully de-link the transaction from any other entity. COLT 2026-5 was fully de-linked and served as a bankruptcy remote special-purpose vehicle. All transaction parties and triggers were aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may have included, but were not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to COLT 2026-5; as such, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.0% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. A 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national level to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. A 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Consolidated Analytics, Clarifii, Clayton, Evolve, Maxwell, Opus, and Selene. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. COMM 2015-DC1: Fitch Lowers Rating on Class D Debt to 'Csf' ----------------------------------------------------------- Fitch Ratings has downgraded three and affirmed six classes of COMM 2015-DC1 Mortgage Trust. Following the downgrade, classes C and PEZ were assigned a Negative Outlook. The Rating Outlooks on classes A-M, B, X-A, and X-B remain Negative. Fitch has affirmed four classes of COMM 2014-LC17 Mortgage Trust. Fitch has affirmed seven classes of COMM 2016-DC2 Mortgage Trust and revised the Outlook for class C to Stable from Negative. The Outlooks for classes D, E, and X-C remain Negative. Entity/Debt Rating Prior ----------- ------ ----- COMM 2014-LC17 E 12592MAQ3 LT CCCsf Affirmed CCCsf F 12592MAS9 LT CCsf Affirmed CCsf X-D 12592MAE0 LT CCCsf Affirmed CCCsf X-E 12592MAG5 LT CCsf Affirmed CCsf COMM 2016-DC2 Mortgage Trust B 12594CBJ8 LT AA-sf Affirmed AA-sf C 12594CBK5 LT A-sf Affirmed A-sf D 12594CAL4 LT BBsf Affirmed BBsf E 12594CAN0 LT Bsf Affirmed Bsf F 12594CAQ3 LT CCCsf Affirmed CCCsf X-C 12594CAC4 LT BBsf Affirmed BBsf X-D 12594CAE0 LT CCCsf Affirmed CCCsf COMM 2015-DC1 A-M 12629NAH8 LT AAAsf Affirmed AAAsf B 12629NAJ4 LT A-sf Affirmed A-sf C 12629NAL9 LT BB-sf Downgrade BBB-sf D 12629NAX3 LT Csf Downgrade CCCsf E 12629NAZ8 LT Csf Affirmed Csf PEZ 12629NAK1 LT BB-sf Downgrade BBB-sf X-A 12629NAG0 LT AAAsf Affirmed AAAsf X-B 12629NAM7 LT A-sf Affirmed A-sf X-D 12629NAR6 LT Csf Affirmed Csf KEY RATING DRIVERS Pool Concentration and Adverse Selection; 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 42.1% in COMM 2015-DC1, 31.7% in COMM 2014-LC17, and 25.2% in COMM 2016-DC2. All three transactions are concentrated with 11 loans remaining in the COMM 2015-DC1 transaction, three loans in COMM 2014-LC17 and five loans in COMM 2016-DC2. Fitch Loans of Concern (FLOCs) comprise 10 loans (88.3% of the pool) in the COMM 2015-DC1 transaction, which are all in special servicing; two loans (84.8%) in COMM 2014-LC17, which include one loan (63.8%) in special servicing and five loans (100.0%) in COMM 2016-DC2, with four loans (83.3%) in special servicing. COMM 2015-DC1: The downgrades reflect increasing pool loss expectations since Fitch's previous action and higher certainty of loss resulting from the concentration of REO assets which account for 16.3% of the pool. The largest FLOCS in the transaction include SoHo Portfolio (22.3% of the pool), Keystone Summit Corporate Park (19.0%), 115 Mercer (10.8%), 760 & 800 Westchester Avenue (8.6%), and Legacy at Lake Park (7.8%). The Negative Outlooks reflect the high concentration of loans in special servicing and the potential for further downgrades if recoveries are lower than expected and/or workouts on the specially serviced loans are prolonged. COMM 2014-LC17: The affirmations of the distressed classes reflect the potential for outsized losses from the Parkway 120 loan to impact the classes. The Parkway 120 loan accounts for 63.8% of the remaining pool balance. U-Haul Pool 4 and Highwoods Portfolio loans both mature in 2029. Highwoods Portfolio is a FLOC due to upcoming rollover concerns; the loan did not repay by its September 2025 ARD and has a final maturity in September 2029. COMM 2016-DC2: The affirmations and the revision of the Outlook on class C to Stable reflect the significant increase in credit enhancement (CE) and better-than-expected recoveries from loan payoffs. Additionally, specially serviced Williamsburg Premium Outlet (27.7%), which executed a loan modification in January 2026, is expected to return to the master servicer. The Negative Outlook on classes D and E reflects the classes' reliance on proceeds from specially serviced loans to repay and the potential for future downgrades, should expected losses increase due to further performance or appraisal value declines, lower-than-expected recoveries, or prolonged workouts on specially serviced loans. Due to the elevated pool concentration and adverse selection in all the transactions, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses and to assess the outstanding classes' ratings relative to available credit enhancement. The Negative Outlook on Class A-M in the COMM 2015-DC1 also considers the potential for interest shortfalls due to the concentration of specially serviced assets, which could limit advancing if deemed nonrecoverable. Largest Contributors to Loss Expectations: The largest contributor to overall loss expectations in the COMM 2015-DC1 is the Keystone Summit Corporate Park loan, secured by a 557,768-sf office complex consisting of five interconnected buildings in Marshall Township, PA, which is 19 miles from Pittsburgh. The loan transferred to the special servicer in December 2024 after the borrower stated it could not repay the loan by the January 2025 maturity date. Occupancy continues to trend downward despite lease extensions for the three largest tenants, falling to 79.0% as of March 2026 from 82.7% in April 2025, and 100% at issuance, and could decline further as 19.0% of NRA is scheduled to roll in 2027. According to the servicer, a foreclosure proceeding was initiated in May 2025, the court appointed a receiver in December 2025, and the receiver is now evaluating a potential sale of the property. Fitch's 'Bsf' rating case loss of 58.8% (prior to concentration add-ons) is based on a stress to the most recent appraised value, which is 57.5% below the appraised value at issuance and equates to a stressed value of $56 psf. The second-largest contributor to overall loss expectations is the 115 Mercer loan, which is secured by a 4,041-sf unanchored retail condominium space at the base of a seven-story mixed-use residential building in the SoHo neighborhood of New York, NY. The loan transferred to special servicing in March 2019, followed by the appointment of a receiver. The special servicer initiated foreclosure proceedings, and a foreclosure auction was held in October 2022, with the lender emerging as the highest bidder. The property is currently fully occupied, with Barbara Strum leasing 2,100 sf (52% of NRA) under an extension agreement, and Boggi Milano leasing 1,941 sf (48%) under a new lease. Boggi has completed their build-out and commenced operations. The lender's current plan is to re-evaluate marketing the property for sale in 4Q26. Fitch's loss expectations of 73.4% (prior to concentration add-ons) reflects a stress to the most recent appraisal value, which is approximately 64% below the value at issuance and equates to a stressed value of $2,219 psf. The largest contributor to overall loss expectations in the COMM 2014-LC17 transaction is the Parkway 120 loan , which is secured by a 220,062-sf suburban office property located in Matawan, NJ. The loan was transferred to special servicing in September 2024 due to maturity default. The borrower executed a forbearance agreement in August 2025 that expires in September 2026. Occupancy decreased to 93% as of December 2024 from 100% at issuance primarily due to the downsizing of the second- and third-largest tenants. Occupancy is expected to decline further, as Fragomen Del Rey Bernsen (21%) has indicated plans to relinquish over half of its current space while renewing its lease, reducing its occupancy to 8.1% of the property's NRA. Rollover risk includes 10% of the NRA expiring in 2026 and 32.5% in 2028. As of YE 2025, the net operating income (NOI) debt servicing coverage ratio (DSCR) was 1.55x. Per the servicer, discussions remain ongoing regarding the borrower's request to extend the forbearance period further, which would require a significant equity contribution. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 45.8% is based on a stress to the most recent appraisal value, which is approximately 50.7% below the appraisal value at issuance, equating to a stressed value of $93 psf. The largest contributor to overall loss expectations in the COMM 2016-DC2 transaction is the North Point Center East loan (31.6%), which is secured by a portfolio of four office buildings totaling 540,747-sf located in Alpharetta, GA. The loan transferred to special servicing in October 2025 due to imminent maturity default after the borrower cited refinancing challenges ahead of maturity. According to the servicer, occupancy declined to 60.0% as of April 2026 compared to 92.0% at YE 2024 and 100% at issuance. Rollover risk includes 15.4% of NRA scheduled to expire in 2027. The most recent servicer-reported NOI DSCR was 1.44x as of YTD June 2025. Discussions regarding a revised modification proposal are ongoing. Fitch's 'Bsf' rating case loss of 31% (prior to concentration adjustments) reflects a 10.5% cap rate, 30% stress to the YE 2024 NOI and an increased probability of default to account for the loan's heightened default risk. The second-largest contributor to overall loss expectations in the COMM 2016-DC2 transaction is the Intercontinental Kansas City Hotel (20.4%) loan, which is secured by a 366-room full-service hotel located in Kansas City, Missouri. The loan transferred to special servicing in December 2025 due to imminent monetary default. As of September 2025, NOI DSCR declined to 0.97x from 1.11x at YE 2024, and 2.26x at YE 2018. Occupancy was 53% in September 2025 and YE 2024 and 67% at YE 2018. According to the servicer, the borrower expressed intentions to surrender the collateral to the lender and a receiver was appointed in March 2026. Fitch's 'Bsf' rating case loss (prior to concentration add-ons) of 27.8% is based on a stress to the most recent appraisal value, which is approximately 37.9% below the appraisal value at issuance, equating to a stressed value of $123,497psf. Increased Credit Enhancement (CE): As of the May 2026 distribution date, the aggregate balances of the COMM 2015-DC1, COMM 2014-LC17 and COMM 2016-DC2 transactions have been reduced by 75.6%, 95.2% and 77.7% respectively, since issuance. Interest Shortfalls and Realized Losses: Cumulative interest shortfalls of $15.1 million are affecting classes D and E, and the non-rated classes F, G, and H in the COMM 2015-DC1 transaction, $4.2 million is affecting the non-rated class G, and H in the COMM 2014-LC17 transaction and $1.4 million is affecting the non-rated class H in the COMM 2016-DC2 transaction. Realized losses of $14.4 million are impacting the non-rated class H in the COMM 2015-DC1 transaction, $35 million impacting the non-rated class H in the COMM 2014-LC17 transaction and $3.4 million impacting the non-rated class H in the COMM 2016-DC12 transaction. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' rated classes in the COMM 2015-DC1 transaction are not expected due to the position in the capital structure and increasing CE and expected paydown from loan repayments but may occur if deal-level losses increase significantly or interest shortfalls occur or are expected to affect these classes. Downgrades to classes rated in the 'AAsf' and 'Asf' categories could occur with an increase in pool-level losses from further performance deterioration of the FLOCs and/or more loans than expected default at or prior to maturity, including office FLOCs in special servicing, Keystone Summit Corporate Park (16.9% of the pool), 760 & 800 Westchester Avenue (7.5%), Legacy at Lake Park (6.8%), Tintri Mountain View (5.1%), 200 West Second Street (6.6%), and the retail REO asset 115 Mercer (9.4%) in COMM 2015-DC1 and North Point Center East, Intercontinental Kansas City Hotel and Colony Square Atascadero in COMM 2016-DC2. Downgrades to classes rated in the 'BBsf' and 'Bsf' categories which have Negative Outlooks are likely with higher-than-expected losses, underperformance of the FLOCs with deteriorating performance, and with greater certainty of losses on the specially serviced loan or FLOCs. Downgrades to distressed classes are possible should additional loans transfer to special servicing and/or as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from loan payoffs, coupled with stable-to-improved pool-level loss expectations and improved performance on the aforementioned FLOCs in special servicing. Classes would not be upgraded above 'AA+sf' if there is a likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' rated category are not likely given the significant concentrations and pool composition but could occur if recoveries are larger than expected, and there is sufficient CE to the classes. Upgrades to distressed classes are not likely but may be possible with better-than-expected recoveries and/or significantly higher values on specially serviced loans. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. CROWN POINT 9: Fitch Assigns 'BB-(EXP)sf' Rating on Cl. E-RR Notes ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to Crown Point CLO 9 Ltd. Entity/Debt Rating ----------- ------ Crown Point CLO 9 Ltd. A-1-RR LT NR(EXP)sf Expected Rating A-2-RR LT AAA(EXP)sf Expected Rating B-RR LT AA(EXP)sf Expected Rating C-RR LT A(EXP)sf Expected Rating D-RR LT BBB-(EXP)sf Expected Rating E-RR LT BB-(EXP)sf Expected Rating F LT NR(EXP)sf Expected Rating Transaction Summary Crown Point CLO 9 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Pretium Credit CLO Management, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $300 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 99.99% first-lien senior secured loans and has a weighted average recovery assumption of 73.78%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-RR, between 'BB+sf' and 'A+sf' for class B-RR, between 'B+sf' and 'A-sf' for class C-RR, and between less than 'B-sf' and 'BBB-sf' for class D-RR and between less than 'B-sf' and 'B+sf' for class E-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-RR notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-RR, 'AA+sf' for class C-RR, and 'A+sf' for class D-RR and 'BBB+sf' for class E-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Crown Point CLO 9 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. CROWN POINT 9: Moody's Assigns (P)B3 Rating to $250,000 F Notes --------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to two classes of refinancing notes (the Refinancing Notes) to be issued by Crown Point CLO 9 Ltd. (the Issuer): US$186,000,000 Class A-1-RR Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$250,000 Class F Secured Deferrable Junior Floating Rate Notes due 2039, Assigned (P)B3 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CLO's portfolio and structure. The Issuer is a managed cash flow collateralized loan obligation (CLO). The issued notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. At least 90% of the portfolio must consist of first lien senior secured loans and up to 10% of the portfolio may consist of second lien loans, unsecured loans or permitted non-loan assets. Pretium Credit CLO Management, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the transaction's extended five year reinvestment period. Thereafter, subject to certain restrictions, the Manager may reinvest unscheduled principal payments and proceeds from sales of credit risk assets. In addition to the issuance of the Refinancing Notes, the five other classes of secured notes and additional subordinated notes, a variety of other changes to transaction features will occur in connection with the refinancing. These include: extension of the reinvestment period; extensions of the stated maturity and non-call period; changes to certain collateral quality tests; changes to the overcollateralization test levels; and changes to the base matrix and modifiers. Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, as described in the "Collateralized Loan Obligations" rating methodology published in April 2026. The key model inputs Moody's used in Moody's analysis, such as par, weighted average rating factor, diversity score and weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $300,000,000 Diversity Score: 70 Weighted Average Rating Factor (WARF): 2800 Weighted Average Spread (WAS): 2.90% Weighted Average Recovery Rate (WARR): 45.50% Weighted Average Life (WAL): 8 years Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors that would lead to an upgrade or downgrade of the ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the Refinancing Notes. DRYDEN 42: Fitch Assigns 'B-sf' Final Rating on Class F-RR Notes ---------------------------------------------------------------- Fitch Ratings has assigned final ratings to the Dryden 42 Senior Loan Fund (the issuer) refinancing classes X-R3, A-1R3, A-2R3, B-R3, C-R3, D-1R3 and D-2R3 notes, each with a Stable Rating Outlook. Fitch has affirmed the ratings of classes E-RR and F-RR, each with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Dryden 42 Senior Loan Fund X-RR 26244YAY2 LT PIFsf Paid In Full AAAsf X-R3 LT AAAsf New Rating A-1RR 26244YBA3 LT PIFsf Paid In Full AAAsf A-1R3 LT AAAsf New Rating A-2RR 26244YBC9 LT PIFsf Paid In Full AAAsf A-2R3 LT AAAsf New Rating B-RR 26244YBE5 LT PIFsf Paid In Full AAsf B-R3 LT AAsf New Rating C-RR 26244YBG0 LT PIFsf Paid In Full Asf C-R3 LT Asf New Rating D-1ARR 26244YBJ4 LT PIFsf Paid In Full BBB-sf D-1BRR 26244YBL9 LT PIFsf Paid In Full BBB-sf D-1R3 LT BBB-sf New Rating D-2RR 26244YBN5 LT PIFsf Paid In Full BBB-sf D-2R3 LT BBB-sf New Rating E-RR 26245AAC1 LT BB-sf Affirmed BB-sf F-RR 26245AAJ6 LT B-sf Affirmed B-sf Transaction Summary The issuer is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by PGIM, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $342 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.94 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.96% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.76% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 3.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. KEY PROVISION CHANGES The refinancing is being implemented via a supplemental indenture which amended certain provisions of this transaction. The changes include but are not limited to: - Spreads have been reduced for all classes of refinancing notes; - The non-call period for the refinancing notes is extended to June 11, 2027; - The stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes, with the exception of class A-1R3 which will now have the same stated maturity as all other classes of notes; - The Fitch recovery rate definition, Fitch industry classifications and Fitch test matrices have been amended to conform to Fitch's new rating criteria. Further, the number of Fitch test matrices has been increased from two to four in connection with the refinancing. FITCH ANALYSIS The portfolio includes 439 assets from 385 primarily high-yield obligors, and 0.2% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance (excluding defaults and including principal cash) is approximately $342 million. As of the latest trustee report prior to the refinance date, the transaction was not passing its minimum weighted average Fitch recovery rate test and minimum percentage of senior secured loans. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B+'/B'. Fitch has an explicit rating, credit opinion or private rating for 49.7% of the current portfolio par balance; ratings for 49.9% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map and 0.4% were unrated. As per Fitch's criteria, the analysis focused on the Fitch Stressed Portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each for an aggregate of 12.5%; - Largest three industries: 15.0%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: 6.25 years; - Minimum weighted average spread of 2.80%; - Minimum weighted average recovery rate of 68.60%; - Maximum weighted average rating factor of 22.00; - Fixed-rate assets: 5.00%; - Minimum weighted average coupon of 7.00%. The transaction will exit its reinvestment period on July 15, 2029. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class X-R3: 'AAAsf' / Default 38.70% / Recovery 39.28% / Cushion 61.30%; - Class A-1R3: 'AAAsf' / Default 38.70% / Recovery 39.28% / Cushion 18.10%; - Class A-2R3: 'AAAsf' / Default 38.70% / Recovery 39.28% / Cushion 15.00%; - Class B-R3: 'AAsf' / Default 36.00% / Recovery 48.89% / Cushion 13.50%; - Class C-R3: 'Asf' / Default 31.80% / Recovery 58.81% / Cushion 15.30%; - Class D-1R3: 'BBB-sf' / Default 24.30% / Recovery 68.72% / Cushion 17.60%; - Class D-2R3: 'BBB-sf' / Default 24.30% / Recovery 68.72% / Cushion 12.10%; - Class E-RR: 'BB-sf' / Default 20.10% / Recovery 73.63% / Cushion 7.20%; - Class F-RR: 'B-sf' / Default 15.90% / Recovery 78.62% / Cushion 7.10%. FSP Model Outputs: - Class X-R3: 'AAAsf' / Default 46.80% / Recovery 36.80% / Cushion 53.20%; - Class A-1R3: 'AAAsf' / Default 46.80% / Recovery 36.80% / Cushion 8.80%; - Class A-2R3: 'AAAsf' / Default 46.80% / Recovery 36.80% / Cushion 6.10%; - Class B-R3: 'AAsf' / Default 43.30% / Recovery 43.60% / Cushion 2.90%; - Class C-R3: 'Asf' / Default 38.20% / Recovery 53.60% / Cushion 6.40%; - Class D-1R3: 'BBB-sf' / Default 29.50% / Recovery 63.60% / Cushion 10.10%; - Class D-2R3: 'BBB-sf' / Default 29.50% / Recovery 63.60% / Cushion 5.80%; Fitch affirmed the non-refinancing class E-RR and class F-RR notes at 'BB-sf'/Stable and 'B-sf'/Stable, respectively, given that the indicative default cushions for each of these classes are sufficient. Furthermore, Fitch has assigned a rating of 'BBB-sf'/Stable to the class D-1R3 notes, which is two notches below the Model Implied Rating (MIR). In Fitch's view, the MIR for class D-1 R3 does not adequately reflect the transaction's recent adverse performance trend, including realized losses in the current portfolio or the below-average credit enhancement available to these tranches. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranches' sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade in line with the MIR could be reversed in the near term. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R3, between 'A+sf' and 'AAAsf' for class A-1R3, between 'A+sf' and 'AAAsf' for class A-2R3, between 'BBB+sf' and 'AA-sf' for class B-R3, between 'BB-sf' and 'A+sf' for class C-R3, between less than 'B-sf' and 'BBB+sf' for class D-1R3, between less than 'B-sf' and 'BBB-sf' for class D-2R3, between less than 'B-sf' and 'B+sf' for class E-RR, and less than 'B-sf' for class F-RR. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R3, A-1R3 and A-2R3 notes as they are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R3, 'AA+sf' for class C-R3, 'A+sf' for class D-1R3, 'A+sf' for class D-2R3, 'BBB+sf' for class E-RR, and 'BB+sf' for class F-RR. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Dryden 42 Senior Loan Fund. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. DRYDEN 83: S&P Affirms BB- (sf) Rating on Class E-R Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to the replacement class A-R2, B-R2, C-R2, D-1-R2 and D-2-R2 debt from Dryden 83 CLO Ltd./Dryden 83 CLO LLC, a CLO managed by PGIM Inc. that was originally issued in January 2021 and underwent a refinancing in May 2024. At the same time, S&P withdrew its ratings on the previous class A-R, B-1-R, B-2-R, C-1-R, C-2-R, D-1-R, and D-2-R debt following payment in full on the June 24, 2026, refinancing date. S&P also affirmed its rating on the class E-R debt, which was not refinanced. The rating on the class E-R debt remains on CreditWatch, where it was placed with negative implications on May 6, 2026. The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture: -- The non-call period was extended to June 24, 2027. -- The reinvestment period was not extended. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were not extended. -- No additional assets were purchased on the June 24, 2026, refinancing date, and the target initial par amount remains at $450 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is July 18, 2026. -- The previous class B-1-R and B-2-R debt were combined into the replacement class B-R2 debt. -- The previous class C-1-R and C-2-R debt were combined into the replacement class C-R2 debt. -- No additional subordinated notes were issued on the refinancing date. Replacement And Previous Debt Issuances Replacement debt -- Class A-R2, $288.00 million: Three-month CME term SOFR + 1.21% -- Class B-R2, $54.00 million: Three-month CME term SOFR + 1.55% -- Class C-R2 (deferrable), $27.00 million: Three-month CME term SOFR + 1.85% -- Class D-1-R2 (deferrable), $23.60 million: Three-month CME term SOFR + 3.10% -- Class D-2-R2 (deferrable), $6.75 million: Three-month CME term SOFR + 4.85% Previous debt -- Class A-R, $288.00 million: Three-month CME term SOFR + 1.53% -- Class B-1-R, $40.50 million: Three-month CME term SOFR + 1.95% -- Class B-2-R, $13.50 million: Three-month CME term SOFR + 2.15% -- Class C-1-R (deferrable), $18.00 million: Three-month CME term -- SOFR + 2.35% -- Class C-2-R (deferrable), $9.00 million: Three-month CME term SOFR + 2.80% -- Class D-1-R (deferrable), $23.60 million: Three-month CME term SOFR + 3.70% -- Class D-2-R (deferrable), $6.75 million: Three-month CME term SOFR + 5.20% S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels assigned. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "The rating on the class E-R debt was placed on CreditWatch negative on May 6, 2026, due to a decline in the overcollateralization ratios, par loss, and weakened cash flow results. On a standalone basis, our cash flow analysis continues to indicate a lower rating on the class E-R debt, which was not refinanced. We affirmed our rating on this class and will resolve the CreditWatch placement in coming months. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Dryden 83 CLO Ltd./Dryden 83 CLO LLC Class A-R2, $288.00 million: AAA (sf) Class B-R2, $54.00 million: AA (sf) Class C-R2, $27.00 million: A (sf) Class D-1-R2, $23.60 million: BBB- (sf) Class D-2-R2, $6.75 million: 'BBB- (sf) Ratings Withdrawn Dryden 83 CLO Ltd./Dryden 83 CLO LLC Class A-R to NR from 'AAA (sf)' Class B-1-R to NR from 'AA+ (sf)' Class B-2-R to NR from 'AA (sf)' Class C-1-R to NR from 'A+ (sf)' Class C-2-R to NR from 'A (sf)' Class D-1-R to NR from 'BBB (sf)' Class D-2-R to NR from 'BBB- (sf)' Rating Affirmed Dryden 83 CLO Ltd./Dryden 83 CLO LLC Class E-R: BB- (sf)/Watch Neg Other Debt Dryden 83 CLO Ltd./Dryden 83 CLO LLC Subordinated notes, $57.52 million: NR NR--Not rated. DWIGHT 2026-FL2: Fitch Assigns 'B-(EXP)sf' Rating on Three Tranches ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Dwight 2026-FL2 Issuer LLC as follows: - $523,250,000a class A 'AAA(EXP)sf'; Outlook Stable; - $122,850,000a class A-S 'AAA(EXP)sf'; Outlook Stable; - $61,425,000a class B 'AA-(EXP)sf'; Outlook Stable; - $43,225,000a class C 'A-(EXP)sf'; Outlook Stable; - $37,537,000ab class D 'BBB(EXP)sf'; Outlook Stable; - $0c class D-E 'BBB(EXP)sf'; Outlook Stable; - $0d class D-X 'BBB(EXP)sf'; Outlook Stable; - $12,513,000ab class E 'BBB-(EXP)sf'; Outlook Stable; - $0c class E-E 'BBB-(EXP)sf'; Outlook Stable; - $0d class E-X 'BBB-(EXP)sf'; Outlook Stable; - $35,262,000be class F 'BB-(EXP)sf'; Outlook Stable; - $0c class F-E 'BB-(EXP)sf'; Outlook Stable; - $0d class F-X 'BB-(EXP)sf'; Outlook Stable; - $21,613,000be class G 'B-(EXP)sf'; Outlook Stable; - $0c class G-E 'B-(EXP)sf'; Outlook Stable; - $0d class G-X 'B-(EXP)sf'; Outlook Stable. The following class is not expected to be rated by Fitch: - $53,325,000ef income notes. (a) Privately placed and pursuant to Rule 144A. (b) Exchangeable notes: The classes D, E, F, and G notes are exchangeable for proportionate interest in the MASCOT notes, subject to satisfaction of certain conditions and restrictions, provided that at the time of exchange such notes are owned by a wholly owned subsidiary of Dwight RET. The principal balance of each of the exchangeable notes received in an exchange will be equal to the principal balance of the corresponding MASCOT principal and interest (P&I) notes surrendered in such exchange. (c) MASCOT P&I notes. (d) MASCOT interest-only notes. (e) Retained notes. (f) Horizontal risk retention interest, estimated to be 5.75% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $858,563,291 and does not include future funding. The expected ratings are based on information provided by the issuer as of June 22, 2026. Transaction Summary The notes are collateralized by 24 loans secured by 24 commercial properties having an aggregate principal balance of $858,563,291 as of the cut-off date. There are three delayed closed loans totaling $147.0 million, equating to 17.2% of trust cutoff balance; all three loans are projected to close within 60 days of the closing date. There is $51.4 million in ramp cash that the issuer has 120 days to purchase additional collateral interests. The pool does not include the $55.9 million of future funding, equating to 6.5% of trust cutoff balance. The loans and interest securing the notes will be owned by Dwight 2026-FL2 Issuer LLC as the issuer of the notes. The servicer and special servicer are expected to be Situs Asset Management LLC and Situs Holdings, LLC. The trustee is expected to be Wilmington Trust, National Association and the note administrator is expected to be Computershare Trust Company, National Association. The notes are expected to follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed net cash flow (NCF) analysis totaling 95.5% of the pool. Fitch's resulting NCF of $36.7 million represents a 12.2% increase from the issuer's underwritten NCF of $32.8 million, excluding loans for which Fitch conducted an alternative value analysis. Aggregate cash flows include only the prorated trust portion of any pari passu loan. Higher Fitch Leverage: The pool has higher leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan-to-value (LTV) of 140.5% is higher than the 2026 YTD CRE CLO average of 139.0% and 2025 CRE CLO average of 139.6%. The pool's Fitch NCF debt yield (DY) of 6.2% is lower than the 2026 YTD CRE CLO average of 6.5% and the 2025 CRE CLO average of 6.5% . Higher Pool Concentration: The pool is more concentrated than recently rated Fitch CRE CLO transactions. The top 10 loans account for 69.8% of the pool which is higher than 2026 YTD CRE CLO average of 60.15 and 2025 CRE CLO average of 61.7%. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 17.2. This is lower than the 2026 YTD CRE CLO average of 21.1 and 2025 CRE CLO average of 20.4. Fitch views diversity as a key mitigator to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Multifamily Concentration: Loans secured by multifamily properties (designated by Fitch) represent 100.0% of the pool, which is higher than the 2026 YTD CRE CLO average of 73.9% and 2025 CRE CLO average of 76.1%. Multifamily properties have a lower average likelihood of default than retail, office or industrial, all else being equal. Fitch did not raise the overall losses for this concentration, as multifamily properties have diversity of tenants and, correspondingly, diversity of employment. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'AAAsf'/'AAAsf'/'AA-sf'/'A-sf'/ 'BBBsf'/'BBB-sf'/'BB-sf'/ 'B-sf'. - 10% NCF Decline: 'AAAsf'/'AA+sf'/'A+sf'/'A-sf'/'BBB-sf'/'BB+sf'/ 'Bsf'/ 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: AAAsf/AAAsf/AA-sf/A-sf/BBBsf/BB-sf/ B-sf. - 10% NCF Increase: AAAsf/AAAsf/AA+sf/AA-sf/A-sf/ BBB+sf/ BB+sf/ B+. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the BBB- level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash ﬂow modeling referenced in its "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Recovery Rating Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash ﬂow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLC. The third-party due diligence described in Form 15E focused on comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of 3, unless otherwise disclosed in this section. A score of 3 means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ELMWOOD CLO 49: Fitch Assigns 'B-sf' Final Rating on Class F Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to Elmwood CLO 49 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Elmwood CLO 49 Ltd. A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT B-sf New Rating B-(EXP)sf Subordinated LT NRsf New Rating NR(EXP)sf Transaction Summary Elmwood CLO 49 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Elmwood Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.6, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.5% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.9% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'B+sf' and 'Asf' for class C, between less than 'B-sf' and 'BBBsf' for class D-1, between less than 'B-sf' and 'BBB-sf' for class D-2, between less than 'B-sf' and 'BB-sf' for class E and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes as these notes are in the highest rating category of 'AAAsf'. For other notes, variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'A+sf' for class D-2, 'BBB+sf' for class E and 'BBB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 16 June 2026 ESG Considerations Fitch does not provide ESG relevance scores for Elmwood CLO 49 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. EXETER AUTOMOBILE 2026-3: S&P Assigns B (sf) Rating on Cl. E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Exeter Automobile Receivables Trust 2026-3's automobile receivables-backed notes. The note issuance is an ABS transaction backed by subprime auto loan receivables. The ratings reflect: -- The availability of approximately 57.14%, 50.92%, 42.69%, 32.21%, 25.54%, and 23.54% credit support (hard credit enhancement and haircut to excess spread) for the class A (classes A-1, A-2, and A-3, collectively), B, C, D, E, and N notes, respectively, based on post-pricing final stressed cash flow scenarios. These credit support levels provide at least 2.70x, 2.40x, 2.00x, 1.50x, 1.20x, and 1.10x coverage of S&P's expected cumulative net loss of 21.00% for classes A, B, C, D, E, and N, respectively. -- The expectation that under a moderate ('BBB') stress scenario (1.50x S&P's expected loss level), all else being equal, S&P's 'AAA (sf)', 'AA (sf)', 'A (sf)', 'BBB (sf)', 'BB- (sf)', and 'B (sf)' ratings on the class A, B, C, D, E, and N notes, respectively, will be within its credit stability limits. -- The timely payment of interest and principal repayment by the designated legal final maturity dates under S&P's stressed cash flow modeling scenarios for the assigned ratings. -- The collateral characteristics of the series' subprime automobile loans, S&P's view of the collateral's credit risk, its updated macroeconomic forecast, and forward-looking view of the auto finance sector. -- S&P's assessment of the series' bank accounts at Citibank N.A., which do not constrain the ratings. -- S&P's operational risk assessment of Exeter Finance LLC as servicer, along with our view of the company's underwriting and its backup servicing arrangement with Citibank. -- S&P's assessment of the transaction's potential exposure to environmental, social, and governance credit factors, which are in line with its sector benchmark. -- The transaction's payment and legal structures. Ratings Assigned Exeter Automobile Receivables Trust 2026-3 Class A-1, $142.00 million: A-1+ (sf) Class A-2, $236.22 million: AAA (sf) Class A-3, $267.47 million: AAA (sf) Class B, $140.34 million: AA (sf) Class C, $146.42 million: A (sf) Class D, $194.31 million: BBB (sf) Class E, $130.90 million: BB- (sf) Class N(i), $34.41 million: B (sf) (i)The class N notes will be paid to the extent funds are available after the overcollateralization target is achieved, and they will not provide any enhancement to the senior classes. FIGRE TRUST 2026-FL2: Moody's Assigns B3 Rating to Cl. B-2 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 8 classes of residential mortgage-backed securities (RMBS) issued by FIGRE Trust 2026-FL2, and sponsored by Figure Lending LLC. The securities are backed by a pool of predominantly first-lien, performing, simple interest, fixed rate, fully amortizing and predominantly open-ended Home Equity Lines of Credit (HELOCs), originated by Figure Lending LLC and various other originators and serviced by Figure Lending LLC. The complete rating actions are as follows: Issuer: FIGRE Trust 2026-FL2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-1FCF, Definitive Rating Assigned Aaa (sf) Cl. A-1LCF, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aa2 (sf) Cl. A-3, Definitive Rating Assigned A1 (sf) Cl. M-1, Definitive Rating Assigned Baa3 (sf) Cl. B-1, Definitive Rating Assigned Ba3 (sf) Cl. B-2, Definitive Rating Assigned B3 (sf) RATINGS RATIONALE The ratings are based on the credit quality of the HELOCs, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 1.26%, in a baseline scenario-median is 0.82% and reaches 13.29% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. FORTRESS CREDIT XXVII: S&P Assigns BB-(sf) Rating on Class E Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to Fortress Credit Opportunities XXVII CLO B LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by middle market speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Fortress CLO Manager B LLC, a subsidiary of Fortress Investment Group LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; -- The transaction's legal structure, which is expected to be bankruptcy remote; and -- The rating requirements of The Bank of Nova Scotia as the class A-1R loan holder, as well as the rating requirements of any future class A-1R loan holder(s). S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Fortress Credit Opportunities XXVII CLO B LLC Class A-1R(i)(ii)(iii), $40.00 million: AAA (sf) Class A-1T, $188.00 million: AAA (sf) Class A-2, $20.00 million: AAA (sf) Class B, $24.00 million: AA (sf) Class C (deferrable), $32.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB (sf) Class D-2 (deferrable), $8.00 million: BBB- (sf) Class E (deferrable), $16.00 million: BB- (sf) Subordinated notes, $46.82 million: NR (i)Revolving tranche. (ii)Issued in loan form. (iii)The preliminary rating on the class A-1R loans addresses the full and timely payment of principal and the referenced interest amount (i.e. interest rate cap), and it does not consider any capped amounts above this referenced interest amount. NR--Not rated. FREDDIE MAC 2026-MN14: Fitch Assigns BB-sf Rating on Cl. M-2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned the following ratings and Ratings Outlooks for the Freddie Mac Multifamily Structured Credit Risk (MSCR) Notes, Series 2026-MN14. - $147,996,000b class M-1 'BBB-sf'; Outlook Stable; - $174,271,000b class M-2 'BB-sf'; Outlook Stable; Fitch does not rate the following classes: - $20,824,890,658a class A-H; - $180,818,062a class M-1H; - $154,543,063a class M-2H; - $175,367,000b class B-1; - $43,842,375a class B-1H; - $219,209,376a class B-2H. (a) Class A-H, M-1H, M-2H, B-1H and B-2H are reference tranches and will not have corresponding notes. Reference tranches will be referenced only in connection with making calculations of principal payments required to be made on the notes, and reductions and increases in the class balances of the notes. (b) Class M-1, M-2 and B-1 will have corresponding reference tranches for the purpose of making calculations of principal payments required to be made by the trust, and reductions and increases in the class balances of the notes. Since Fitch published the presale report, the class balance of M-1 changed to $147,996,000 from $115,084,000; and the class balance of M-1-H changed to $180,818,062 from $213,730,062. The aggregate amount for the Class M-1 and Class M-1H reference tranches is unchanged. Since Fitch published the presale report, the class balance of M-2 changed to $174,271,000 from $156,186,000; and the class balance of M-2H changed to $154,543,063 from $172,628,063. The aggregate amount for the Class M-2 and Class M-2H reference tranches is unchanged. Since Fitch published the presale report, the class balance of B-1 changed to $175,367,000 from $142,486,000; and the class balance of B-1H changed to $43,842,375 from $76,723,375. The aggregate amount for the Class B-1 and Class B-1H reference tranches is unchanged. Transaction Summary The Freddie Mac Multifamily Structured Credit Risk (MSCR) Notes, Series 2026-MN14 (MSCR 2026-MN14), serve as a credit risk transfer mechanism, whereby the credit risk of a reference pool of loans held and/or guaranteed by Freddie Mac are transferred to the notes' investors. The reference pool consists of 827 obligations totaling $21.9 billion. The reference pool loans were originated in connection with Freddie Mac's Multi PC (285; 43.3%), K Series (419; 53.6%), Targeted Affordable Housing Bond Credit Enhancement (TAH BCE; 31; 1.8%) and small balance loan (92; 1.4%) programs. In six instances where a first-lien loan and a second-lien are both included in the reference pool, and in one instance where two first-lien loans are secured by the same underlying collateral, Fitch has modeled them as one loan; therefore, loan counts may vary slightly from those in the offering documents. Proceeds from the sale of the notes will be used by the trust to purchase eligible investments (EIs), as defined under the transaction documents. On each payment date, the trust will use earnings from EIs to pay interest due, with Freddie Mac (rated AA+ by Fitch Ratings) acting as a backstop to provide any additional funds to the extent earnings from the EIs are insufficient to pay amounts due. The transaction is intended to mimic cash flows of traditional CMBS for investors. On each payment date, noteholders will receive interest payment based on the note's interest rate and outstanding notional balance. The notional balance can be reduced by losses to the trust resulting from liquidations or modifications. Noteholders will also be entitled to principal paydowns from corresponding principal payments on the reference pool. On the closing date, the issuer will enter into a collateral administration agreement and capital contribution agreement with the trust under which the trust will provide credit protection to Freddie Mac on the reference loan pool. The trust will be required, according to the collateral administration agreement, to pay the issuer based on credit events and modification events, as defined under the transaction documents. KEY RATING DRIVERS Fitch Property Cash Flow: Fitch performed cash flow analyses on 81 loans totaling 17.2% of the pool by balance. Fitch's resulting net cash flow (NCF) of $1.6 billion represents a 10.05% decline from the issuer's underwritten NCF of $1.8 billion. Historical Performance of GSE Multifamily Programs: Historical losses under GSE multifamily programs are much lower than they are for conduit transactions. This is the 14th issuance under Freddie's MSCR series, and as of February 2026, the delinquency rate for the series was 0.1%. Under its six multifamily issuance programs, aggregate issuance has been approximately $905 billion, with aggregate losses of about $403 million (0.02%). Loan Diversity: The pool is highly diverse in respect of loan concentration. The pool has an effective loan count of 357.2, materially higher than the average for 2025 Fitch-rated 10-year Freddie Mac transactions (K Series) of 19.8. The top 10 loans represent 8.6% of the pool, compared with the 2025 Fitch-rated 10-year Freddie Mac transactions' (K Series) average of 60.9%. The pool is also more geographically diverse, with an effective geographic count of 35.0 compared with the 2025 Fitch-rated 10-year Freddie Mac transactions' (K Series) average of 10.1. Fitch applied QRS of '1' instead of '3' to most of the loans in the pool, reflecting the additional benefit of the diversity of the pool and strong historical Freddie Mac loan performance. In addition, the Fitch cap rate and stressed constant were reduced by 25 bps across the portfolio to account for the materially high loan diversity. Ratings Cap: The ratings are capped at the lower of the credit protection buyer (Freddie Mac, rated AA+ by Fitch) and account holder of the charged assets (U.S. Bank National Association, rated AA- by Fitch). Although the current ratings are not constrained by a rating cap, a downgrade of either party may affect the ratings, and upgrades due to improvement in underlying asset performance may be limited based on the caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Declining cash flow decreases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes in one variable, Fitch NCF: - Original Rating: 'BBB-sf'/'BB-sf' - 10% NCF Decline: 'BBsf'/'B-sf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Improvement in cash flow increases property value and capacity to meet its debt service obligations. The table below indicates the model-implied rating sensitivity to changes to in one variable, Fitch NCF: - Original Rating: 'BBB-sf'/'BB-sf' - 10% NCF Increase: 'BBB-sf'/'BB-sf'. CRITERIA VARIATION For loans with original terms exceeding 10 years, the modeled term used to calculate the term probability of default was set at 120 months plus 15% of the remaining months beyond that threshold. This application is consistent with Fitch's "Exposure Draft: U.S. Multiborrower C-PACE Rating Criteria" and was calibrated to historical performance data. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GLS AUTO 2023-2: S&P Affirms BB- (sf) Rating on Class E Notes ------------------------------------------------------------- S&P Global Ratings raised its ratings on 14 classes of notes and affirmed its ratings on nine classes of notes from six GLS Auto Receivables Issuer Trust (GCAR) transactions. These are ABS transactions that are backed by subprime retail auto loan receivables originated and serviced by Global Lending Services LLC. The rating actions reflect: -- Each transaction's collateral performance to date and S&P's expectations regarding its future collateral performance; -- S&P's revised cumulative net loss (CNL) expectations for each transaction and the transactions' structures and credit enhancement levels; and -- Other credit factors, including credit stability, payment priorities under various scenarios, and sector- and issuer-specific analyses, including S&P's most recent macroeconomic outlook that incorporates baseline forecasts for U.S. GDP and unemployment. Considering all these factors, S&P believes the creditworthiness of each class of notes is consistent with the rating actions. S&P said, "The GCAR 2023-1, 2023-2, and 2024-1 transactions continue to perform worse than our prior CNL expectations. As such, we raised our expected CNLs for these series. The 2024-3 transaction is performing better than our initial expected CNL, and we lowered our expected CNL for this transaction. The GCAR 2024-2 and 2025-2 transactions are performing in line with our original CNL expectations. As a result, we maintained our expected CNL for these transactions." Table 1 Collateral performance(i) Pool 60+ day Current Series Mo. factor delinq. ext.(%) CGL(%) CRR(%) CNL (%) (%) (%) 2023-1 39 22.75 9.98 4.05 30.05 33.93 19.85 2023-2 37 29.29 9.52 3.67 27.56 35.41 17.80 2024-1 28 41.15 7.45 3.51 20.38 36.75 12.89 2024-2 25 47.19 7.28 3.76 16.39 39.66 9.89 2024-3 22 53.00 6.57 3.29 13.23 41.02 7.80 2025-2 13 72.49 5.61 2.64 7.13 41.77 4.15 (i)As of the June 2026 distribution date. Mo.--Month. Delinq.--Delinquencies. Ext.--Extensions. CGL--Cumulative gross loss. CRR--Cumulative recovery rate. CNL--Cumulative net loss. Table 2 CNL expectations (%) Prior Original revised Revised lifetime lifetime lifetime Series CNL exp. CNL exp.(i) CNL exp. 2023-1 17.50 21.00 24.50 2023-2 17.50 19.00 23.75 2024-1 17.50 17.50 19.25 2024-2 17.50 17.50 17.50 2024-3 17.50 N/A 16.50 2025-2 17.50 N/A 17.50 (i)Previously revised in June 2025 for series 2023-1 through 2024-2. CNL exp.--Cumulative net loss expectations. N/A–-Not applicable. Each transaction has a sequential principal payment structure--in which the notes are paid principal by seniority--that will increase the credit enhancement for the senior notes as the pool amortizes. Each transaction also has credit enhancement consisting of a non-amortizing reserve account, overcollateralization, subordination for the more senior classes, and excess spread. As of the June 2026 distribution date, the non-amortizing reserve account for each transaction is at its required level. Overcollateralization for all transactions except 2023-2 is at its target overcollateralization level. The 2023-2 transaction is approximately $160,559 under its overcollateralization target. Each transaction's sequential principal payment structure has led to an increase in hard credit enhancement since issuance. Table 3 Hard credit support(i)(ii) Total hard Current total credit support hard credit support Series Class at issuance (%) (% of current) 2023-1 D 15.95 59.41 2023-1 E 7.80 23.59 2023-2 C 27.40 89.79 2023-2 D 13.75 43.20 2023-2 E 6.20 17.42 2024-1 B 40.00 100.20 2024-1 C 26.10 66.42 2024-1 D 14.00 37.02 2024-1 E 6.00 17.58 2024-2 B 40.35 87.51 2024-2 C 26.75 58.69 2024-2 D 14.60 32.95 2024-2 E 6.60 16.00 2024-3 B 39.35 77.25 2024-3 C 25.35 50.83 2024-3 D 12.20 26.02 2024-3 E 6.05 14.42 2025-2(iii) A 53.80 79.67 2025-2 B 39.20 59.53 2025-2 C 25.60 40.77 2025-2 D 12.60 22.84 2025-2 E 6.05 13.80 (i)As of the June 2026 distribution date. (ii)Calculated as a percentage of the total gross receivable pool balance, which consists of overcollateralization and a reserve account, and if applicable, subordination. Excludes excess spread, which can also provide additional enhancement. (iii)Classes A-2 and A-3 collectively. S&P said, "We analyzed the current hard credit enhancement compared to the remaining expected CNLs for those classes where hard credit enhancement alone--without credit to the stressed excess spread--was sufficient, in our view, to raise or affirm the ratings on the notes. For other classes, we incorporated a cash flow analysis to assess the loss coverage level, giving credit to stressed excess spread. Our various cash flow scenarios included forward-looking assumptions on recoveries, timing of losses, and voluntary absolute prepayment speeds that we believe are appropriate, given each transaction's performance to date and our current economic outlook. "We also conducted sensitivity analyses to determine the impact that a moderate ('BBB') stress scenario would have on our ratings if losses began trending higher than our revised base-case loss expectation. "In our view, the results demonstrated that all of the classes have adequate credit enhancement at their respective raised and affirmed rating levels, which is based on our analysis as of the collection period ended May 31, 2026 (the June 2026 distribution date). "We will continue to monitor the performance of all outstanding transactions to ensure that the credit enhancement remains sufficient, in our view, to cover our CNL expectations under our stress scenarios for each of the rated classes." Ratings Raised GLS Auto Receivables Issuer Trust 2023-1 Class D to 'AA+ (sf)' from 'AA- (sf)' GLS Auto Receivables Issuer Trust 2024-1 Class C to 'AAA (sf)' from 'AA (sf)' Class D to 'AA- (sf)' from 'BBB (sf)' Class E to 'BBB- (sf)' from 'BB (sf)' GLS Auto Receivables Issuer Trust 2024-2 Class B to 'AAA (sf)' from 'AA+ (sf)' Class C to 'AAA (sf)' from 'A+ (sf)' Class D to 'A+ (sf)' from 'BBB (sf)' Class E to 'BB+ (sf)' from 'BB (sf)' GLS Auto Receivables Issuer Trust 2024-3 Class B to 'AAA (sf)' from 'AA (sf)' Class C to 'AA+ (sf)' from 'A (sf)' Class D to 'A- (sf)' from 'BBB (sf)' Class E to 'BB+ (sf)' from 'BB (sf)' GLS Auto Receivables Issuer Trust 2025-2 Class B to 'AAA (sf)' from 'AA (sf)' Class C to 'AA- (sf)' from 'A(sf)' Ratings Affirmed GLS Auto Receivables Issuer Trust 2023-1 Class E: BB (sf) GLS Auto Receivables Issuer Trust 2023-2 Class C: AAA (sf) Class D: A (sf) Class E: BB- (sf) GLS Auto Receivables Issuer Trust 2024-1 Class B: AAA (sf) GLS Auto Receivables Issuer Trust 2025-2 Class A-2: AAA (sf) Class A-3: AAA (sf) Class D: BBB (sf) Class E: BB (sf) GOLDENTREE LOAN 30: Fitch Assigns 'B-(EXP)sf' Rating on Cl. F Notes ------------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to GoldenTree Loan Management US CLO 30, Ltd. Entity/Debt Rating ----------- ------ GoldenTree Loan Management US CLO 30, Ltd. X LT NR(EXP)sf Expected Rating A LT NR(EXP)sf Expected Rating A-J LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D LT BBB-(EXP)sf Expected Rating D-J LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating F LT B-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary GoldenTree Asset Management LP (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GLM III, LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $725 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.02, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 100% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.68% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by 12 months for the WAL covenants that are greater than 6 years, to account for the structural and reinvestment conditions after the reinvestment conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-J, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D, between less than 'B-sf' and 'BBB-sf' for class D-J, and between less than 'B-sf' and 'BBsf' for class E and between less than 'B-sf' and 'B+sf' for class F. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-J notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AA+sf' for class C, 'A+sf' for class D, 'A+sf' for class D-J, and 'BBB+sf' for class E and 'BBB+sf' for class F. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for GoldenTree Loan Management US CLO 30, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. GS MORTGAGE 2016-GS2: Fitch Lowers Rating on Class C Debt to 'CCsf' ------------------------------------------------------------------- Fitch Ratings has downgraded eight and affirmed three classes of GS Mortgage Securities Trust 2016-GS2 (GSMS 2016-GS2). Fitch has also assigned a Negative Outlook to six classes following their downgrades. Fitch also downgraded three and affirmed seven classes of Citigroup Commercial Mortgage Trust 2016-P4 (CGCMT 2016-P4) and assigned a Negative Outlook to one class following its downgrade. The Rating Outlooks were revised to Stable from Negative for two affirmed classes. The Rating Outlook is Negative for two affirmed classes. Fitch also affirmed 10 classes of Citigroup Commercial Mortgage Trust 2016-P3 (CGCMT 2016-P3). The Rating Outlook was revised to Stable from Negative for two affirmed classes. The Rating Outlook is Negative for four affirmed classes. Entity/Debt Rating Prior ----------- ------ ----- CGCMT 2016-P3 A-S 29429CAF2 LT AAsf Affirmed AAsf B 29429CAG0 LT BBBsf Affirmed BBBsf C 29429CAH8 LT Bsf Affirmed Bsf D 29429CAM7 LT CCCsf Affirmed CCCsf E 29429CAP0 LT CCsf Affirmed CCsf EC 29429CAL9 LT Bsf Affirmed Bsf F 29429CAR6 LT Csf Affirmed Csf X-A 29429CAJ4 LT AAsf Affirmed AAsf X-B 29429CAK1 LT BBBsf Affirmed BBBsf X-D 29429CAV7 LT CCCsf Affirmed CCCsf CGCMT 2016-P4 A-4 29429EAD3 LT AAAsf Affirmed AAAsf A-S 29429EAH4 LT AAAsf Affirmed AAAsf B 29429EAJ0 LT AA-sf Affirmed AA-sf C 29429EAK7 LT BB-sf Downgrade BBB-sf D 29429EAL5 LT CCsf Downgrade CCCsf E 29429EAN1 LT Dsf Affirmed Dsf F 29429EAQ4 LT Dsf Affirmed Dsf X-A 29429EAF8 LT AAAsf Affirmed AAAsf X-B 29429EAG6 LT AA-sf Affirmed AA-sf X-C 29429EAW1 LT CCsf Downgrade CCCsf GSMS 2016-GS2 A-4 36252TAR6 LT AAAsf Affirmed AAAsf A-S 36252TAV7 LT AAAsf Affirmed AAAsf B 36252TAW5 LT Asf Downgrade AAsf C 36252TAY1 LT BBBsf Downgrade Asf D 36252TAA3 LT BB-sf Downgrade BBB-sf E 36252TAE5 LT CCCsf Downgrade BB-sf F 36252TAG0 LT CCsf Downgrade Bsf PEZ 36252TAX3 LT BBBsf Downgrade Asf X-A 36252TAT2 LT AAAsf Affirmed AAAsf X-B 36252TAU9 LT Asf Downgrade AAsf X-D 36252TAC9 LT BB-sf Downgrade BBB-sf KEY RATING DRIVERS Increased 'Bsf' Loss Expectations; Upcoming Maturities: Based on the original balance and including losses to date, deal-level 'Bsf' rating case loss has increased to 11.3% from 3.1% in GSMS 2016-GS2, increased to 12.4% from 9.9% in CGCMT 2016-P4, and decreased to 11.0% from 13.1% in CGCMT 2016-P3 at Fitch's prior rating action in July 2025. All nine of the remaining loans in the GSMS 2016-GS2 transaction are FLOCs (100%) that are in special servicing. The CGCMT 2016-P4 transaction has eight FLOCs (36.6%), including four loans (22.4%) in special servicing. All five of the remaining loans in the CGCMT 2016-P3 transaction are FLOCs (100%), three (57.8%) of which are in special servicing. These pools have significant maturity concentration as all of the loans are either past their scheduled maturities or are scheduled to mature in 2026. Due to the near-term loan maturities, increasing pool concentration and adverse selection concerns, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment at loan maturity, their loan modification or extension likelihood, and/or loss expectation to assess outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that have already defaulted or are anticipated to default due to performance declines and/or rollover concerns. The rating actions incorporate this analysis. GSMS 2016-GS2: The downgrades reflect higher pool loss expectations since Fitch's prior rating action driven by the two largest remaining loans in the pool, Twenty Ninth Street (32.1%) and Panorama Corporate Center (31.8%), both of which have defaulted and transferred to special servicing since Fitch's prior rating action. Higher losses for these loans reflect an updated lower valuation or further performance deterioration and occupancy declines. The Negative Outlooks reflect exposure to loans that failed to repay at their maturity and further possible downgrades with additional performance deterioration or recoveries that are worse than expected. CGCMT 2016-P4: The downgrades reflect higher pool loss expectations since Fitch's prior rating action from the performance deterioration for FLOCs Esplanade I (9.7%) and Marriott Midwest Portfolio (7.2%), as well as the imminent transfer to special servicing for the 247 Bedford Avenue loan (4.0%) due to maturity default. Despite increased pool loss expectations, the revision of the Outlook to Stable from Negative on class A-S and X-A reflects the expected paydown from the remaining loans in the pool and sufficient credit enhancement. The Negative Outlooks reflect that further downgrades are possible if expected losses increase for Esplanade I, Marriott Midwest Portfolio, and 247 Bedford Avenue including lack of performance stabilization, updated lower valuations, increased exposure, and/or with extended resolution times. The Negative Outlooks also reflect upcoming maturities and the pool's exposure to office loans, comprising 17.0% of the pool. CGCMT 2016-P3: The affirmations reflect the generally stable pool performance and improved loss expectations since the prior rating action. The revision of the Outlook to Stable from Negative on class A-S and X-A reflects the improved pool loss expectations, expected paydown from the remaining loans and sufficient credit enhancement. The Negative Outlooks reflect that further downgrades are possible, if expected losses increase for FLOCs including Nyack College NYC (23.6%), Marriott Midwest Portfolio (24.3%), and 79 Madison (21.8%) performance weakens beyond current expectations, property values decline further, and/or if prolonged workout timelines on specially serviced loans . The Negative Outlooks also reflect the pool's concentration of office loans, comprising 65.8% of the pool, all of which are FLOCs. Largest Increases in Loss Expectations/Largest Loss Contributors: The largest increase in loss expectations since the prior rating action and the largest contributor to overall pool loss expectations in GSMS 2016-GS2 is the Panorama Corporate Center, which is secured by a 780,648-sf suburban office complex located in Centennial, CO. The loan is interest only for the full loan term. The loan transferred to special servicing in February 2026 due to maturity default and is designated as a FLOC due to upcoming rollover risk. According to the servicer, the borrower submitted an A/B proposal that is under review, with discussions ongoing regarding alternative workout strategies. Largest tenants include United Launch Alliance (59.2% NRA; through February 2027), Comcast (36.9%; February 2029) and RTD (11.5%; December 2099). According to the servicer, United Launch Alliance is in discussions to renew its lease at a decreased rate and Comcast has gone dark and does not intend to renew its lease upon expiration in February 2029. As of June 2026, the loan has a total reserve balance of $7.4 million, consisting of $2.7 million in replacement reserves, $2.7 million in lockbox receipts, and $1.8 million in capital improvement reserves. Occupancy was 84%, as of December 2025, compared with 98% at December 2024, remaining relatively unchanged since issuance. The most recent servicer-reported NOI DSCR was 2.50x as of YE 2025, compared with 2.40x at YE 2024, 2.43x at YE 2023, 2.20x at YE 2022 and 2.49x at YE 2021. Fitch's 'Bsf' rating case loss of 40.0% (prior to concentration add-ons) reflects a 9% cap rate and a 60% stress to the YE 2025 NOI and a higher probability of default to reflect the maturity default and specially serviced status. As of June 2026 the loan is categorized as Non-Performing Matured. The second largest increase in loss expectations since the prior rating action and the second largest contributor to overall pool loss expectations in GSMS 2016-GS2 is the Twenty Ninth Street loan, which is secured by a fee and leasehold interest in a 704,713-sf retail regional lifestyle center located in Boulder, CO, less than one mile from the University of Colorado Boulder. The ground lease has a remaining term through 2060 with an current annual payment of approximately $5.5 million. The loan transferred to special servicing in February 2026 due to maturity default. According to the servicer, the borrower submitted an extension proposal, which is under review, and discussions are ongoing. As of June 2026, the loan is categorized as Performing Matured. As of YE 2025, servicer-reported occupancy and NOI DSCR were 95% and 1.88x, respectively, compared to 94% and 1.71x, respectively, at YE 2024. Fitch's 'Bsf' rating case loss of 14.7% (prior to concentration add-ons) reflects the most recent April 2026 appraisal value, which has declined by 63% from the appraisal value at issuance. The largest contributor to overall pool loss expectations in CGCMT 2016-P3 is the Nyack College NYC loan, which is secured by the fee simple interest in a 166,385-sf office and retail condominium in New York, NY. The collateral includes the basement, a portion of the ground floor retail space and floors 17 to 22. The collateral was 100% leased by Nyack College, which was operating under a master lease scheduled to expire in January 2036. Nyack College lost accreditation due to financial insufficiency and was forced to discontinue operations at the property as of December 2023. The loan transferred to special servicing in September 2023 due to payment default. Foreclosure complaint was filed in January 2024 and the most recent servicer commentary indicated that the special servicer is continuing to purse noteholder's rights and remedies. As most of the non-collateral portions of the building were previously converted into residential apartments between 2019 and 2020, a possible residential conversion may be contemplated for the collateral. Fitch's 'Bsf' rating case loss of 52.9% (prior to concentration add-ons) reflects a stressed value of $171 psf and represents a significant decline of 74% from the issuance appraisal value. The third largest increase in loss expectations since the prior rating action and the third largest contributor to overall pool loss expectations in CGCMT 2016-P3 is the 79 Madison Avenue loan, secured by a 17-story, 274,084-sf office building with ground floor retail located on Madison Avenue in Manhattan. The loan has been flagged as a FLOC due to the large exposure to WeWork, along with declining occupancy since issuance. The loan failed to repay at its scheduled January 2026 maturity date, but has yet to transfer to special servicing. According to the October 2025 servicer commentary, the property was marketed for sale in early 2025 and although the borrower negotiated a potential sale prior to loan maturity, the transaction was not completed. As of 3Q25, the property was 42.0% occupied, unchanged from YE 2024, and below occupancy of 68% at YE 2023. The previous decline in occupancy seen in 2024 was attributed to Ted Moudis Associates Inc (13% NRA) vacating upon its July 2024 expiration and WeWork further reducing its space by another 14% of the NRA in the first half of 2024. Major tenants at the property include WeWork (35.2% of the NRA through July 2026) and Blu Dot Design & Manufacturer (6.5% NRA; September 2031). The servicer-reported NOI DSCR was -0.23x as of 3Q25, compared to 0.41x at YE 2024, and down from 1.26x at YE 2023. Fitch's 'Bsf' rating case loss of 34.6% (prior to concentration add-ons) reflects an 9% cap rate and a 40% stress to the YE 2023 NOI to account for the significant decline in occupancy since 2023, which equates to a stressed Fitch value of $126 psf, down 81.9% from the issuance appraisal value of $190 million ($693 psf). The Marriot Midwest Portfolio loan is the second largest contributor in both CGCMT 2016-P3 and CGCMT 2016-P4 and is the largest increase in loss expectations for CGCMT 2016-P3. The loan is secured by a portfolio of 10 hotels, totaling 1,103 rooms, located across the midwestern US. Seven of the hotels operate as SpringHill Suites and three operate as TownePlace Suites, both of which are affiliated with Marriott. Each of the hotels is entered in a 15-year franchise agreement with Marriott that expire in February 2031. The loan transferred to special servicing in June 2024 due to the loan maturity in November 2024 and was subsequently modified and extended through June 2026. The borrower requested a two-year extension, which was rejected, and receivership proposals are under review. The servicer-reported YE 2024 NOI DSCR was 1.04x compared with 1.05x at YE 2023, 1.37x at YE 2022. The YE 2024 occupancy, ADR, and RevPAR were 63.6%, $112, and $72, respectively, compared with 66.1%, $106, and $70 as of YE 2023, respectively. Fitch's 'Bsf' rating case loss of 35.2% (prior to concentration add-ons) reflects an 11.5% cap rate and a stress to the YE 2024 NOI and a 100% probability of default to account for the loan's transfer to special servicing. The largest contributor to overall pool loss expectations in CGCMT 2016-P4 is the Esplanade I loan, which is secured by a 609,251-sf suburban, office property located in Downers Grove, IL. The property is located approximately 20 miles west of Chicago. The loan transferred to special servicing in February 2024 for imminent monetary default. According to the servicer, a loan modification closed in April 2026, extending the loan maturity from July 2026 to July 2028 and the loan is expected to return to master servicer in the near term. The loan is a FLOC due to upcoming rollover risk. Major tenants include IRS (12.3% NRA; July 2026), DG Hotels LLC - Esplanade Conference Centre (5.1%; month to month), Esplanade Fitness Center (4.4%, month to month) and Skyway Behavioral Health LLC (3.8%; February 2036). Tenants representing 27.9% of the NRA are month to month or have lease expirations in 2026. The servicer-reported YE 2024 NOI DSCR was 0.74x compared with 0.93x at YE 2023, 1.24x at YE 2022. The YE 2024 occupancy has declined slightly to 68% from 70% at YE 2023. Fitch's 'Bsf' rating case loss of 35.7% (prior to concentration add-ons) reflects a 10% cap rate, 10% stress to the YE 2024 NOI, and a 100% probability of default to reflect the upcoming rollover concerns in 2026. The largest increase in loss expectations since the prior rating action and the third largest contributor to overall pool loss expectations in CGCMT 2016-P4 is the 247 Bedford Avenue loan, which is secured by a anchored retail property located in the Williamsburg neighborhood of Brooklyn, NY. This loan is a FLOC due to upcoming rollover risk and its imminent transfer to the special servicer as result of uncertainty surrounding loan payoff at the May 2026 maturity. Largest tenants include Apple (69.8% NRA; May 2027) and The Corcoran Group (30.2% NRA; August 2026). A leasing update for The Corcoran Group is pending. The servicer-reported YE 2025 NOI DSCR was 1.54x compared with 1.53x at YE 2024, and 1.52x at YE 2023. The December 2025 occupancy was 100% and has remained unchanged since issuance. Fitch's 'Bsf' rating case loss of 34.2% (prior to concentration add-ons) reflects a 9.0% cap rate and a stress to the YE 2025 NOI and a 100% probability of default to account for the loan's imminent transfer to special servicing. Change in CE: As of the May 2026 distribution date, the pool's aggregate balance for GSMS 2016-GS2 has been reduced by 68.8% to $234.2 million from $750.6 million at issuance. There are no defeased loans remaining. As of the May 2026 distribution date, the pool's aggregate balance for CGCMT 2016-P3 has been reduced by 73.1% to $206.8 million from $771.0 million at issuance. There are no defeased loans remaining. As of the May 2026 distribution date, the pool's aggregate balance for CGCMT 2016-P4 has been reduced by 52.0% to $346.0 million from $721.2 million at issuance. There are no defeased loans remaining. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to senior 'AAAsf' rated classes are not expected due to the senior position in the capital structure, high CE and expected continued amortization and loan repayments, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. - Downgrades to junior 'AAAsf' rated classes with Negative Outlooks are expected with continued performance deterioration of the FLOCs, increased expected losses and limited to no improvement in class CE, or if interest shortfalls occur. - Downgrades to 'AAsf' and 'Asf' category rated classes could occur should performance of the FLOCs, most notably Twenty Ninth Street, Panorama Corporate Center, and 86th Street in GSMS 2016-GS2; Esplanade I, Marriot Midwest Portfolio and 247 Bedford Avenue in CGCMT 2016-P4; and Marriot Midwest Portfolio, Nyack College NYC, and 79 Madison Avenue in CGCMT 2016-P3, deteriorate further or if more loans than expected default at or prior to maturity. - Downgrades to the 'BBBsf', 'BBsf', 'Bsf' category rated classes are likely with higher than expected losses from continued underperformance of the FLOCs, particularly the aforementioned FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. - Downgrades to 'CCCsf', 'CCsf', and 'Csf' rated classes would occur should additional loans transfer to special servicing and/or default, or as losses become realized or more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to 'AAsf' and 'Asf' category rated classes are possible with significantly increased CE from paydowns, coupled with improved pool-level loss expectations and performance stabilization of FLOCs, including Twenty Ninth Street, Panorama Corporate Center, and 86th Street in GSMS 2016-GS2; Esplanade I, Marriot Midwest Portfolio and 247 Bedford Avenue in CGCMT 2016-P4; and Marriot Midwest Portfolio, Nyack College NYC, and 79 Madison Avenue in CGCMT 2016-P3. - Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls; - Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely and only if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE to the classes; - Upgrades to 'CCCsf', 'CCsf', and 'Csf' are not likely, but may be possible with better than expected recoveries on specially serviced loans and/or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE 2026-PJ8: Fitch Rates Class B5 Notes 'B-(EXP)sf' ------------------------------------------------------------ Fitch Ratings has assigned expected ratings to the mortgage-backed notes issued by GS Mortgage-Backed Securities Trust 2026-PJ8 (GSMBS 2026-PJ8). Entity/Debt Rating ----------- ------ GSMBS 2026-PJ8 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating A30 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating AX2 LT AAA(EXP)sf Expected Rating AX3 LT AAA(EXP)sf Expected Rating AX4 LT AAA(EXP)sf Expected Rating AX5 LT AAA(EXP)sf Expected Rating AX6 LT AAA(EXP)sf Expected Rating AX7 LT AAA(EXP)sf Expected Rating AX8 LT AAA(EXP)sf Expected Rating AX9 LT AAA(EXP)sf Expected Rating AX10 LT AAA(EXP)sf Expected Rating AX11 LT AAA(EXP)sf Expected Rating AX12 LT AAA(EXP)sf Expected Rating AX13 LT AAA(EXP)sf Expected Rating AX14 LT AAA(EXP)sf Expected Rating AX15 LT AAA(EXP)sf Expected Rating AX16 LT AAA(EXP)sf Expected Rating AX17 LT AAA(EXP)sf Expected Rating AX18 LT AAA(EXP)sf Expected Rating AX19 LT AAA(EXP)sf Expected Rating AX20 LT AAA(EXP)sf Expected Rating AX21 LT AAA(EXP)sf Expected Rating AX22 LT AAA(EXP)sf Expected Rating AX23 LT AAA(EXP)sf Expected Rating AX24 LT AAA(EXP)sf Expected Rating AX25 LT AAA(EXP)sf Expected Rating AX27 LT AAA(EXP)sf Expected Rating AX28 LT AAA(EXP)sf Expected Rating AX29 LT AAA(EXP)sf Expected Rating AX30 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating BX1 LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating BX2 LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating A-1L Loans LT AAA(EXP)sf Expected Rating A-2L Loans LT AAA(EXP)sf Expected Rating A-3L Loans LT AAA(EXP)sf Expected Rating Transaction Summary The certificates are supported by 319 prime, fixed-rate loans with a total balance of approximately $367.8 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. GSMBS 2026-PJ8 has a final probability of default (PD) of 11.6% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 35.4%. The expected loss in the 'AAAsf' rating stress is 4.1%. Structural Analysis: The mortgage cash flow and loss allocation in GSMBS 2026-PJ8 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. Due diligence is the only consideration that has a direct impact on Fitch's loss expectations. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies an approximate 5% PD reduction for loans fully reviewed by a third-party review (TPR) firm which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects GSMBS 2026-PJ8 to be fully de-linked and serve as a bankruptcy remote special purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to GSMBS 2026-PJ8; therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 35.4% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Clayton Services, Consolidated Analytics, Inc, Opus Capital Markets Consultants, LLC and Situs AMC. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applied an approximately 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. GS MORTGAGE-BACKED 2026-DSC2: S&P Rates Class B-2 Certs (P) B (sf) ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2026-DSC2's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and an adjustable-rate, fully amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to both prime and nonprime borrowers. The loans are secured by single-family residential properties, planned-unit developments, condominiums, two- to four-family residential properties and a cooperative. The pool consists of 1,373 business-purpose investment property loans (backed by 1,384 properties), that are all ability-to-repay-exempt. The preliminary ratings are based on information as of June 18, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned GS Mortgage-Backed Securities Trust 2026-DSC2 Class A-1, $200,796,000: AAA (sf) Class A-2, $19,357,000: AA (sf) Class A-3, $31,492,000: A (sf) Class M-1, $14,012,000: BBB (sf) Class B-1, $10,113,000: BB (sf) Class B-2, $7,078,000: B (sf) Class B-3, $6,067,700: Not rated Class X, $288,915,700(i): Not rated Class SA, $ 32,733(ii): Not rated Class PT, $ 288,915,700(iii): Not rated Class R, not applicable: Not rated (i)The notional amount will equal the non-retained interest percentage of the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. (ii)Balance equal to the non-retained interest percentage of the amount of pre-existing servicing advances as of the closing date. (iii)The balance of the class PT certificates on any distribution date will equal the aggregate class principal balance of the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3 certificates. GS MORTGAGE-BACKED 2026-HLTV1: S&P Rates Class B-2 Certs (P) B(sf) ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to GS Mortgage-Backed Securities Trust 2026-HLTV1's mortgage-backed certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed, and adjustable-rate, high LTV, amortizing residential mortgage loans, including mortgage loans with initial interest-only periods, to prime and nonprime borrowers. The loans are secured by single-family residential properties, townhomes, planned-unit developments, condominiums, two- to four-family residential properties, and cooperatives. The pool has 417 loans, comprising qualified mortgage (QM) safe harbor, non-QM/ability-to-repay (ATR) compliant, and not covered/ATR-exempt loans. The preliminary ratings are based on information as of June 18, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator and mortgage originators; and -- S&P said, "Our economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our economic outlook is updated, if necessary, when these projections change materially. Preliminary Ratings Assigned(i) GS Mortgage-Backed Securities Trust 2026-HLTV1 Class A-1A, $197,193,000: AAA (sf) Class A-1B, $28,332,000: AAA (sf) Class A-1, $225,525,000: AAA (sf) Class A-2, $11,758,000: AA (sf) Class A-3, $13,883,000: A (sf) Class M-1, $10,625,000: BBB (sf) Class B-1, $9,491,000: BB (sf) Class B-2, $7,225,000: B (sf) Class B-3, $4,817,058: NR Class X, notional(ii): NR Class SA, (iii): NR Class PT, $283,324,058: NR Class R(iv), N/A: NR (i)The preliminary ratings address the ultimate payment of interest and principal and do not address payment of the cap carryover amounts. (ii)The notional amount for the class XS certificates equals the non-retained interest percentage (95%) of the loans' aggregate unpaid principal balance and is initially $283,324,058. (iii)The class SA initial balance will equal the non-retained interest percentage of the pre-existing servicing advances as of the closing date, initially $15,203. (iv)The class R certificates will not have a principal amount and are the class of certificates representing residual interest in the issuing entity. The class R certificates are not expected to receive distributions. NR--Not rated. N/A--Not applicable. GUGGENHEIM MM 2023-6: S&P Assigns BB- (sf) Rating on Cl. E-R Notes ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to the replacement class A-R, B-R, C-R, D-R, and E-R debt and new class X debt from Guggenheim MM CLO 2023-6 LLC, a CLO managed by Guggenheim Corporate Funding LLC that was originally issued in December 2023. At the same time, S&P withdrew its ratings on the previous class A, A-L, B, C, D, and E debt following payment in full on the June 18, 2026, refinancing date. The replacement and proposed new debt was issued via a supplemental indenture, which outlines the terms of the replacement and new debt. According to the supplemental indenture: -- The replacement class A-R, B-R, C-R, D-R, and E-R debt was issued at a lower spread over three-month SOFR than the previous debt. -- The non-call period was extended to June 18, 2028. -- The reinvestment period was extended to June 18, 2030. -- The legal final maturity dates for the replacement debt and the existing subordinated notes were extended to July 25, 2038. -- The target initial par amount will remain at $475 million. The first payment date following the refinancing is Oct. 25, 2026. -- New class X debt was issued on the refinancing date. This debt is expected to be paid down using interest proceeds during the first 15 payment dates in equal installments of $1,338,666.67, beginning on the second payment date. -- The required minimum overcollateralization and interest coverage ratios remain unchanged. -- No additional subordinated notes were issued on the refinancing date. S&P said, "Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each rated tranche. "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary." Ratings Assigned Guggenheim MM CLO 2023-6 LLC Class X, $20.08 million: AAA (sf) Class A-R, $275.50 million: AAA (sf) Class B-R, $47.50 million: AA (sf) Class C-R (deferrable), $38.00 million: A (sf) Class D-R (deferrable), $28.50 million: BBB- (sf) Class E-R (deferrable), $28.50 million: BB- (sf) Other Debt Guggenheim MM CLO 2023-6 LLC Subordinated notes, $57.00 million: not rated HILDENE TRUPS 2018-1: Moody's Assigns Ba2 Rating to $5MM D-R Notes ------------------------------------------------------------------ Moody's Ratings has assigned ratings to six classes of refinancing notes (the Refinancing Notes) issued by Hildene TruPS Securitization 2018-1, Ltd. (the Issuer): US$205,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aaa (sf) US$37,750,000 Class A-2N-R Senior Secured Floating Rate Notes due 2038, Definitive Rating Assigned Aa1 (sf) US$30,000,000 Class A-2F-2R Senior Secured Fixed Rate Notes due 2038, Definitive Rating Assigned Aa1 (sf) US$27,250,000 Class B-R Mezzanine Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned A2 (sf) US$20,000,000 Class C-R Mezzanine Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned Baa3 (sf) US$5,000,000 Class D-R Mezzanine Secured Deferrable Floating Rate Notes due 2038, Definitive Rating Assigned Ba2 (sf) The notes listed are referred to herein, collectively, as the Refinancing Notes RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks particularly those associated with the CDO's portfolio and structure. The Issuer is a static cash flow TruPS CDO. The issued notes will be collateralized primarily by a portfolio of trust preferred securities ("TruPS") issued by US community banks and insurance companies and their holding companies. The portfolio is expected to be 100% ramped as of the closing date. Hildene Structured Advisors, LLC (the Manager) will continue to direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, deferring securities or credit risk securities. The transaction prohibits any asset purchases or substitutions at any time. In addition to the issuance of the Refinancing Notes, one class of subordinated notes will remain outstanding. The transaction incorporates interest and par coverage tests which, if triggered, divert interest and principal proceeds to pay down the notes in order of seniority. The portfolio of this CDO consists of TruPS issued by 61 US community banks and 2 insurance companies, the majority of which Moody's do not rate. Moody's assess the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc(TM), an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q4-2025 financial data. Moody's assess the default probability of insurance company obligors that do not have public ratings through credit assessments provided by its insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Portfolio par: $349,759,000 Weighted Average Rating Factor (WARF): 435 Weighted Average Spread (WAS): 2.87% Weighted Average Coupon (WAC): 6.56% Weighted Average Recovery Rate (WARR): 10.00% Weighted Average Life (WAL): 7.3 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Refinancing Notes is subject to uncertainty. The performance of the Refinancing Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. HILTON GRAND 2026-2: Fitch Assigns 'BB-sf' Rating on Class D Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to notes issued by Hilton Grand Vacations Trust 2026-2 (HGVT 2026-2). Entity/Debt Rating Prior ----------- ------ ----- Hilton Grand Vacations Trust 2026-2 A LT AAAsf New Rating AAA(EXP)sf B LT A-sf New Rating A-(EXP)sf C LT BBB-sf New Rating BBB-(EXP)sf D LT BB-sf New Rating BB-(EXP)sf Transaction Summary The notes are backed by a pool of fixed-rate timeshare loans originated by Hilton Resorts Corporation (HRC), Diamond Resorts Corporation (Diamond) and Bluegreen Vacations Corporation (Bluegreen). Hilton Grand Vacations, Inc. (HGV) completed its acquisitions of Diamond and Bluegreen in August 2021 and January 2024, respectively, and are now wholly owned indirect subsidiaries of HGV. KEY RATING DRIVERS Borrower Risk — Stable Collateral: The 2026-2 pool has a weighted average (WA) Fair Isaac Corp. (FICO) score of 745, down marginally from 746 in 2026-1 but up from 742 in 2025-2. Loans with original balances greater than $100,000 have increased to 17.0%, from 16.1% in 2026-1; this is considered a credit negative, as larger-balance loans have led to higher cumulative gross defaults (CGDs) in prior HGVT transactions. Additionally, the pool includes approximately 2.3% of loans made to foreign obligors, up from a 1.0% concentration in 2026-1. The WA original term of 123 months and seasoning of 11 months are consistent with 2026-1. The share of upgraded loans from existing owners, at 70.3%, is higher than 63.7% in 2026-1. HGVT 2026-2 is HGV's sixth transaction to include HRC, Diamond and Bluegreen loans, which represent 33.5%, 33.1% and 33.5% of the collateral pool, respectively. On a like-for-like FICO basis, the HRC loans perform better than the Diamond and Bluegreen loans. Forward-Looking Approach on Rating Case CGD Proxy — Weakening Performance: HRC's managed portfolio delinquency and default performance showed notable increases in CGDs for the 2007-2010 vintages. Subsequent performance improvement was observed from 2010 to 2015, but the 2016-2024 vintages have demonstrated elevated CGDs that are outpacing those of the recessionary vintages for HRC, Diamond and Bluegreen. Similarly, recent securitized transactions are weaker in performance than earlier transactions. Fitch's rating case CGD proxy is 19.50% for 2026-2. Payment Structure — Adequate CE: Initial hard credit enhancement (CE) is 65.10%, 32.90%, 16.20% and 5.90% for class A, B, C and D notes, respectively. CE is higher for all classes relative to 2026-1. Hard CE comprises overcollateralization (OC), a reserve account and subordination. Soft CE is also provided by excess spread and is expected to be 7.36% per annum. Available CE is sufficient to support stressed 'AAAsf', 'A-sf', 'BBB-sf' and 'BB-sf' multiples of Fitch's CGD proxy of 19.50%. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CGD levels higher than the rating case and would likely result in declines of CE and remaining default coverage levels available to the notes. Additionally, unanticipated increases in prepayment activity could also result in a decline in coverage. Declining default coverage may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Hence, Fitch conducts sensitivity analysis by stressing both a transaction's initial rating case CGD and prepayment assumptions and examining the rating implications on all classes of issued notes. The CGD sensitivity stresses the CGD proxy to the level necessary to reduce each rating by one full category, to non-investment grade, 'BBsf' and to 'CCCsf' based on the break-even default coverage provided by the CE structure. Fitch also considers prepayment sensitivity of 1.5x and 2.0x increases to the prepayment assumptions, as well as increases of 1.5x and 2.0x to the rating case CGD proxy, which represent moderate and severe stresses, respectively. These analyses are intended to provide an indication of the rating sensitivity of notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable-to-improved asset performance driven by stable delinquencies and defaults would lead to increasing CE levels and consideration for upgrades. If CGD is 20% less than the projected proxy, the expected ratings would be maintained for the class A note at a stronger rating multiple. For the class B, C, and D notes, the multiples would increase, resulting in potential upgrades of three, two, and two notches, respectively USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with due diligence information from KPMG LLP. The due diligence information was provided on Form ABS Due Diligence-15E and focused on a comparison and recalculation of certain characteristics with respect to 150 sample loans. Fitch considered this information in its analysis, and the findings did not have an impact on its analysis. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. ICG US 2014-2: Moody's Cuts Rating on $20MM Cl. E-RR Notes to Caa1 ------------------------------------------------------------------ Moody's Ratings has downgraded the ratings on the following notes issued by ICG US CLO 2014-2, Ltd.: US$20,000,000 Class E-RR Deferrable Junior Term Notes due 2031, Downgraded to Caa1 (sf); previously on October 27, 2025 Affirmed Ba3 (sf) US$8,000,000 Class F-RR Deferrable Junior Term Notes due 2031, Downgraded to C (sf); previously on October 27, 2025 Downgraded to Ca (sf) ICG US CLO 2014-2, Ltd., originally issued in August 2014 and refinanced in March 2018, is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in January 2023. RATINGS RATIONALE The rating action reflects the transaction's recent deal performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectation. The downgrade action on the Class E-RR and Class F-RR notes is based on Moody's expectations of the ultimate loss-given-default on the notes. Moody's expectations of loss-given-default assesses losses experienced by, and expected future losses on the notes, as a percentage of the higher of the current balance and the original balance of the security. Moody's have been informed that in connection with an optional redemption in April 2026, all outstanding notes were redeemed. As of the latest payment date in April 2026, approximately 91% and 3% of the principal balances (higher of the current balance and the original balance) of the Class E-RR and Class F-RR notes, respectively, have been repaid, and Moody's do not expect any material additional amounts to be repaid. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. INCREF 2026-FL2: Fitch Assigns 'B-sf' Final Rating on Class G Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to INCREF 2026-FL2, LLC as follows: - $743,346,000a class A 'AAAsf'; Outlook Stable; - $119,245,000a class A-S 'AAAsf'; Outlook Stable; - $91,370,000a class B 'AA-sf'; Outlook Stable; - $71,237,000a class C 'A-sf'; Outlook Stable; - $41,814,000a class D 'BBBsf'; Outlook Stable; - $21,680,000a class E 'BBB-sf'; Outlook Stable; - $38,716,000b class F 'BB-sf'; Outlook Stable; - $26,327,000b class G 'B-sf'; Outlook Stable. Fitch did not rate the class below: - $85,175,910b Income Notes. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.125% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,238,910,911 and does not include future funding. The final ratings are based on information provided by the issuer as of June 15, 2026. Transaction Summary The primary assets of the issuer are 36 loans secured by 103 commercial properties with an aggregate principal balance of $1,238,910,911 as of the cutoff date. There are no ramp-up collateral interests in the pool. The pool includes one delayed-close collateral interest totaling approximately $92.7 million, which may be acquired by the issuer up to 90 days after the settlement date without satisfying the eligibility criteria. Delayed acquisition collateral interests not substantially conforming to the terms in Annexes A and B of the offering memorandum will require rating agency confirmation. The pool features $210.5 million of expected future funding. The loans were contributed to the trust by INCREF CLO Seller LLC. The servicer is KeyBank National Association, and the special servicer is Bellwether Asset Services LLC. The trustee is Wilmington Trust, National Association and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans in the pool (71.3% by balance). Fitch's resulting aggregate net cash flow (NCF) of $64.0 million represents an 8.3% decline from the issuer's aggregate underwritten NCF of $69.8 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated trust portion of any pari passu loan. Fitch Leverage: The pool's Fitch loan-to-value ratio (LTV) of 135.3% is slightly below both the 2026 YTD and 2025 CRE CLO averages of 139.0% and 139.6%, respectively. The pool's Fitch NCF debt yield (DY) of 6.5% is in line with both the 2026 YTD and 2025 CRE CLO averages of 6.5%. Lower Loan Concentration: The pool is less concentrated than 2026 YTD and 2025 rated transactions. The top 10 loans make up 53.6% of the pool, which is lower than both the 2026 YTD and 2025 CRE CLO averages of 60.1% and 61.7%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 24.3. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Other Property Type Concentration: One loan representing 7.5% of the pool by balance is a portfolio of industrial outdoor storage (IOS), representing the third-largest property type in the transaction. Fitch modeled this loan as "other" property types, reflecting a higher concentration compared with the 2026 YTD and 2025 CRE CLO averages of 1.5% and 0.4%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'BBsf'/'B-sf'/lower than 'CCCsf'. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf'/'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS Cash Flow Modeling This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including the Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by KPMG LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2026-5: Fitch Assigns 'B-(EXP)sf' Rating on Cl. B5 Certs ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings to J.P. Morgan Mortgage Trust 2026-5 (JPMMT 2026-5). Entity/Debt Rating ----------- ------ JPMMT 2026-5 A1 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A10A LT AAA(EXP)sf Expected Rating A10B LT AAA(EXP)sf Expected Rating A10X1 LT AAA(EXP)sf Expected Rating A10X2 LT AAA(EXP)sf Expected Rating A10X3 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A11X LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A13X LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A14X LT AAA(EXP)sf Expected Rating A14X2 LT AAA(EXP)sf Expected Rating A14X3 LT AAA(EXP)sf Expected Rating A14X4 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A15A LT AAA(EXP)sf Expected Rating A15B LT AAA(EXP)sf Expected Rating A15X1 LT AAA(EXP)sf Expected Rating A15X2 LT AAA(EXP)sf Expected Rating A15X3 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A16B LT AAA(EXP)sf Expected Rating A16X1 LT AAA(EXP)sf Expected Rating A16X2 LT AAA(EXP)sf Expected Rating A16X3 LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A17A LT AAA(EXP)sf Expected Rating A17B LT AAA(EXP)sf Expected Rating A17X1 LT AAA(EXP)sf Expected Rating A17X2 LT AAA(EXP)sf Expected Rating A17X3 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A18A LT AAA(EXP)sf Expected Rating A18B LT AAA(EXP)sf Expected Rating A18X1 LT AAA(EXP)sf Expected Rating A18X2 LT AAA(EXP)sf Expected Rating A18X3 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A3A LT AAA(EXP)sf Expected Rating A3B LT AAA(EXP)sf Expected Rating A3X1 LT AAA(EXP)sf Expected Rating A3X2 LT AAA(EXP)sf Expected Rating A3X3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A4A LT AAA(EXP)sf Expected Rating A4B LT AAA(EXP)sf Expected Rating A4X1 LT AAA(EXP)sf Expected Rating A4X2 LT AAA(EXP)sf Expected Rating A4X3 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A5A LT AAA(EXP)sf Expected Rating A5B LT AAA(EXP)sf Expected Rating A5X1 LT AAA(EXP)sf Expected Rating A5X2 LT AAA(EXP)sf Expected Rating A5X3 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A6A LT AAA(EXP)sf Expected Rating A6B LT AAA(EXP)sf Expected Rating A6X1 LT AAA(EXP)sf Expected Rating A6X2 LT AAA(EXP)sf Expected Rating A6X3 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A7B LT AAA(EXP)sf Expected Rating A7X1 LT AAA(EXP)sf Expected Rating A7X2 LT AAA(EXP)sf Expected Rating A7X3 LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A8A LT AAA(EXP)sf Expected Rating A8B LT AAA(EXP)sf Expected Rating A8X1 LT AAA(EXP)sf Expected Rating A8X2 LT AAA(EXP)sf Expected Rating A8X3 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A9A LT AAA(EXP)sf Expected Rating A9B LT AAA(EXP)sf Expected Rating A9X1 LT AAA(EXP)sf Expected Rating A9X2 LT AAA(EXP)sf Expected Rating A9X3 LT AAA(EXP)sf Expected Rating AX1 LT AAA(EXP)sf Expected Rating B1 LT AA-(EXP)sf Expected Rating B1A LT AA-(EXP)sf Expected Rating B1X LT AA-(EXP)sf Expected Rating B2 LT A-(EXP)sf Expected Rating B2A LT A-(EXP)sf Expected Rating B2X LT A-(EXP)sf Expected Rating B3 LT BBB-(EXP)sf Expected Rating B4 LT BB-(EXP)sf Expected Rating B5 LT B-(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 256 loans with a scheduled balance of $342.12 million as of the cutoff date. The pool consists of prime-quality, fixed-rate mortgages originated mainly by PennyMac Loan Services LLC (43.4%). All other originators contributed less than 15% to the transactions. The loan-level representations and warranties (R&Ws) are provided by the various sellers and originators. All mortgage loans in the pool will be serviced by JPMCB, PennyMac Loan Services, loanDepot.com and United Wholesale Mortgage. Cenlar FSB will subservice the loans for United Wholesale Mortgage. Rocket Mortgage LLC is the master servicer. The collateral quality of the pool is extremely strong, with a large percentage of loans over $1.0 million. Of the loans, 100% qualify as safe-harbor qualified mortgage (SHQM), average prime offer rate (APOR) loans. The senior certificates are fixed rate or floating rate and capped at the net weighted average coupon (WAC). The B-1A and B-2A certificates' pass-through rates are based off of the net WAC minus a spread, and the B3, B-4, B-5 and B-6 certificates are based on the net WAC. KEY RATING DRIVERS Credit Risk of Prime Credit Quality (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The pool consists of fixed-rate, first lien residential mortgage loans with original terms to maturity of up to 30 years. Purchase loans represent 66.6% of the pool, while more than 90% of the properties are single-family homes or PUDs. All properties are owner-occupied or second homes, and about 37.7% of the loans are in California. The loans are seasoned at an average of two months. The pool has a weighted average (WA) original FICO score of 769, indicative of very high credit-quality borrowers. The original WA combined loan-to-value ratio (cLTV) of 74.0%, as determined by Fitch, translates to a sustainable loan-to-value ratio (sLTV) of 81.3%. The weighted average DTI is 35.8% and the weighted average liquid reserve amount is $702,657.52. This transaction has a final probability of default (PD) of 12.16% in the 'AAA' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 36.69%. The expected loss in the 'AAAsf' rating stress is 4.46%. Structural Analysis (Mixed) - Senior/Subordinate Shifting-Interest Structure with Full Advancing: The mortgage cash flow and loss allocation in JPMMT 2026-5 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The lockout feature helps maintain subordination for a longer period should losses occur later in the life of the transaction. The applicable credit support percentage feature redirects subordinate principal to classes of higher seniority if specified credit enhancement (CE) levels are not maintained. This transaction has CE or subordination floors. The CE or senior subordination floor of 1.45% mitigates potential tail-end risk and loss exposure for senior tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. In addition, a junior subordination floor of 1.05% mitigates potential tail-end risk and loss exposure for subordinate tranches as the pool size declines and performance volatility increases due to adverse loan selection and small loan count concentration. Losses on the loans will be allocated first to the subordinate bonds (starting with class B-6). Once class B-1-A is written off, losses will be allocated to class A-9-B and then to the super-senior classes pro rata once class A-9-B is written off. This transaction has full advancing of delinquent P&I until it is deemed non-recoverable. As a result, the LS was increased in its cash flow analysis to account for the servicer recouping the advances. Fitch analyzes the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections as derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. See the Cash Flow Analysis section for more details. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. Fitch applies a 5 bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm with a final grade of either "A" or "B". Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects JPMMT 2026-5 to be fully de-linked, and the transaction will be structured with a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to JPMMT 2026-5; therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 8.96%, at 'base case'. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all of the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by AMC, Opus, Clarifii, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property value reviews. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: Fitch gives a 5bps z-score reduction to the origination PD for each loan that has a due diligence grade of "A" or "B." In this transaction, 100% of the loans had a due diligence review and all the loans reviewed received a final grade of "A" or "B". As a result, losses were lowered based on the due diligence results. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the pool by balance. The third-party due diligence was generally consistent with Fitch's "U.S. RMBS Rating Criteria." AMC, Opus, Clariffi, and Consolidated Analytics were engaged to perform the review. Loans reviewed under this engagement were given compliance, credit and valuation grades and assigned initial grades for each subcategory. Minimal exceptions and waivers were noted in the due diligence reports. Fitch also used data files that were made available by the issuer on its SEC Rule 17g-5 designated website. Fitch received loan-level information based on the Resi PLS data layout format and considers the data comprehensive. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. JP MORGAN 2026-FUN: S&P Assigns BB (sf) Rating on Class E Certs --------------------------------------------------------------- S&P Global Ratings assigned its ratings to J.P. Morgan Chase Commercial Mortgage Securities Trust 2026-FUN's commercial mortgage pass-through certificates. J.P. Morgan Chase Commercial Mortgage Securities Trust 2026-FUN's issuance is a U.S. CMBS transaction backed by a floating-rate commercial mortgage loan secured by the borrowers' fee simple and operating leasehold interests in Kalahari Resorts & Conventions--Pocono Mountains, a 977-guestroom waterpark resort in Pocono Manor, Pennsylvania, and in Kalahari Resorts & Conventions--Sandusky, a 314-guestroom (exclusive of 576 non-collateral condo guestrooms) waterpark resort in Sandusky, Ohio. The certificate issuance is a U.S. CMBS transaction backed by a floating-rate commercial mortgage loan secured by the borrowers' fee simple and operating leasehold interests in Kalahari Resorts & Conventions--Pocono Mountains, a 977-guestroom waterpark resort in Pocono Manor, Pennsylvania, and in Kalahari Resorts & Conventions--Sandusky, a 314-guestroom (exclusive of 576 non-collateral condo guestrooms) waterpark resort in Sandusky, Ohio. The ratings reflect S&P Global Ratings' view of the collateral's historical and projected performance, the sponsor's and the manager's experience, the trustee-provided liquidity, the loan terms, and the transaction structure. Since S&P assigned its preliminary ratings on June 4, 2026, the underlying mortgage loan spread was determined to be approximately 2.13%, up slightly from the initial assumption of 2.00%. Ratings Assigned J.P. Morgan Chase Commercial Mortgage Securities Trust 2026-FUN(i) Class A, $258.21 million: AAA (sf) Class B, $87.02 million: AA- (sf) Class C, $65.36 million: A- (sf) Class D, $71.25 million: BBB- (sf) Class E, $31.16 million: BB (sf) RR interest(ii), $27.00 million: not rated (i)The certificate balances are approximate, subject to a variance of plus or minus 5.0%. (ii)Eligible vertical residual interest. JPMBB COMMERCIAL 2015-C29: Fitch Lowers Rating on 2 Classes to Csf ------------------------------------------------------------------ Fitch Ratings has downgraded two and affirmed six classes of JPMBB Commercial Mortgage Securities Trust, series 2015-C29 (JPMBB 2015-C29). Fitch revised the Rating Outlooks for classes C and EC to Stable from Negative. Fitch also affirmed eight classes of JPMBB Commercial Mortgage Securities Trust 2016-C1 commercial mortgage pass-through certificates (JPMBB 2016-C1). The Rating Outlooks for seven classes remain Negative. Entity/Debt Rating Prior ----------- ------ ----- JPMBB 2015-C29 C 46644RBF1 LT BBsf Affirmed BBsf D 46644RBH7 LT Csf Downgrade CCCsf E 46644RAN5 LT Dsf Affirmed Dsf EC 46644RBG9 LT BBsf Affirmed BBsf F 46644RAQ8 LT Dsf Affirmed Dsf X-D 46644RAE5 LT Csf Downgrade CCCsf X-E 46644RAG0 LT Dsf Affirmed Dsf X-F 46644RAJ4 LT Dsf Affirmed Dsf JPMBB 2016-C1 B 46645LBE6 LT AA-sf Affirmed AA-sf C 46645LBF3 LT A-sf Affirmed A-sf D 46645LAG2 LT BB-sf Affirmed BB-sf D-1 46645LAC1 LT BBB-sf Affirmed BBB-sf D-2 46645LAE7 LT BB-sf Affirmed BB-sf E 46645LAJ6 LT B-sf Affirmed B-sf F 46645LAL1 LT CCCsf Affirmed CCCsf X-D 46645LAA5 LT BB-sf Affirmed BB-sf KEY RATING DRIVERS Pool Concentration and Adverse Selection; 'B' Loss Expectations: Deal-level 'Bsf' rating case losses are 64.2% in JPMBB 2015-C29 and 15.9% in JPMBB 2015-C1, compared with 28.1% and 7.1%, respectively, at the prior rating action. Based on the original pool balance and including realized losses, losses are 12.2% for JPMBB 2015-C29 and 5.0% for JPMBB 2015-C1, compared with 11.3% and 6.6%, respectively, at the prior rating action. Both transactions are highly concentrated, with three loans remaining in JPMBB 2015-C29, all of which are in special servicing and designated as Fitch Loans of Concern (FLOCs), and four loans remaining in JPMBB 2016-C1, two of which are in special servicing and all of which are designated as FLOCs. Due to the near-term loan maturities, increasing pool concentration and adverse selection, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses to assess the outstanding classes' ratings relative to their credit enhancement (CE). Higher probabilities of default were assigned to loans that are anticipated to default at maturity due to performance declines and/or rollover concerns. JPMBB 2015-C29: The downgrades in the JPMBB 2015-C29 transaction reflect higher pool loss expectations for the 2025 M Street loan since Fitch's prior rating action. The higher loss reflects an updated appraisal value that is 85% less than the appraisal value at issuance. The Outlook revision to Stable reflects sufficient credit enhancement (CE) relative to the expected losses associated with the 2025 M Street loan. JPMBB 2016-C1: The affirmations in the JPMBB 2016-C1 transaction reflect the significant increase in CE and better-than-expected recoveries from loan payoffs since the prior rating action. The Negative Outlooks reflect the potential for further downgrades should loss expectations increase on the modified 5 Penn Plaza and 32 Avenue of the Americas loans, including if either loan returns to special servicing or defaults at maturity. The Negative Outlooks also reflect the potential for downgrades should the specially serviced 7700 Parmer loan fail to stabilize, experience further performance deterioration or remain in a prolonged workout. Largest Contributors to Loss: The largest contributor to loss expectations and increase in loss since the prior rating action in the JPMBB 2015-C29 transaction is the 2025 M Street loan (67.5%), secured by a 191,248-sf office property in Washington DC. The loan transferred to special servicing in July 2024. Occupancy for the property declined in 2020 when the second largest tenant, Smith Bucklin (37.3%) vacated at lease expiration leading to a fall in property occupancy to 63% from 92% in 2019. As of March 2025, occupancy has declined further to 59% with NOI DSCR insufficient to cover debt service at 0.57x. YE 2024 NOI has declined 16.4% year-over-year and remains 69% below the originator's underwritten NOI from issuance. Fitch's 'Bsf' rating loss of 75.9% (prior to concentration add-ons) reflects a 20% stress to the most recent appraisal value, which is approximately 85% below the appraisal value at issuance, resulting in a stressed value of $68 psf. The second largest contributor to loss expectations is the Aspen Heights - Texas A&M University Corpus Christi loan. The loan is secured by a 500-bed student housing property in Corpus Christi, TX and transferred to special servicing following the borrower's failure to repay the loan at its January 2026 maturity. Property performance improved through YE 2024 before weakening in the most recent reporting period. Occupancy increased to 95% at YE 2024 from 80% at YE 2022, while YE 2024 NOI DSCR improved to 1.39x from 0.52x at YE 2022. However, 2025 performance declined, with occupancy falling to 84% and NOI DSCR declining to 1.09x, both below issuance levels. Fitch's 'Bsf' rating loss of 34.4% (prior to concentration add-ons) reflects a 50% stress to the most recent appraisal value, resulting in a stressed value of $30,000 per unit. The largest contributor to overall loss expectations in JPMBB 2016-C1 is the 5 Penn Plaza loan (35.2%), secured by a 650,329-sf office property located in Midtown Manhattan. The loan transferred to special servicing in November 2024 due to Imminent Default. A loan modification was executed in October 2025 and the loan was subsequently returned to the master servicer in January 2026. The maturity date was extended two years to January 2028 (with an additional one-year extension option through 2029). As part of the modification, the sponsor contributed $10 million in new equity to establish reserves and fund tenant improvements, leasing costs, and capex. A cash management system will also be implemented to control the collection and use of operating cash flow. The largest tenant, Thomas Publishing Company (14.3% of NRA) had a lease expiration in December 2025 and was expected to vacate at the end of its term. The second largest tenant, Sirius XM Radio (13.2%; November 2029) uses the property as its corporate headquarters. The ground retail portion is 100% occupied by CVS, TD Bank, CityMD, and Cafe Cinq. As of 3Q25, the property was 84% occupied, compared to 85% at YE 2024, 78% at YE 2023, 84% at YE 2022, and 93% at YE 2021. The servicer-reported NOI DSCR was 1.72x as of 3Q25, compared to 1.56x at YE 2024, 0.86x at YE 2023, 1.52x at YE 2022, 1.81x at YE 2021, and 1.70x at YE 2020. Fitch's 'Bsf' rating case loss of 14.3% (prior to concentration add-ons) reflects a 9% cap rate and a 25% stress to the YE 2024 NOI to reflect concerns with upcoming rollover equating to a stressed value of approximately $257 psf. The second largest contributor to loss expectations in the JPMBB 2016-C1 transaction is the 32 Avenue of the Americas loan (32.8%), secured by a 1.2 million-sf office property/data center in New York, NY. The property was identified as a FLOC due to sustained performance declines. Occupancy has declined further to 57.3% as of YE 2025 from 60.5% at YE 2023 and remains lower than 70% at YE 2022 and 89% at YE 2020. Due to the occupancy declines, NOI DSCR remains slightly above 1.0x for the YE 2025 and YE 2024 reporting periods. In addition to the decline in occupancy, operating expenses have increased at the subject. Compared to issuance levels, real estate taxes have risen 47.3% and general and administrative expenses have increased 227.5%, contributing to a 30.2% increase in total operating expenses. Overall, YE 2025 NOI remains 49% below the issuer's underwritten NOI.. Per servicer, a loan modification was executed in November 2025 extending the loan maturity to November 2027 with two one-year extension option. Fitch's 'Bsf' rating case loss of 13.5% (prior to concentration add-ons) reflects a 9.5% cap rate to the YE 2024 NOI. The third largest contributor to overall loss expectations in the JPMBB 2016-C1 transaction is the 7700 Parmer loan (30.7%), secured by a 911,579-sf suburban office property in Austin, TX. The loan transferred to special servicing and was subsequently modified, extending the maturity date to Dec. 1, 2027. Performance has weakened from issuance levels, with occupancy declining to 73.8% at YE 2024 from 80.5% at YE 2023 and 94% at issuance, driven by prior tenant downsizing and lease expirations. As of March 2026, occupancy was 75%. The property is facing near-term rollover and expected tenancy loss, as over 50% of NRA is expected to vacate in 2026. Fitch's 'Bsf' rating case loss of 12.4% (prior to concentration add-ons) reflects a 9.5% cap rate and a 35% haircut to YE 2024 NOI to capture significant rollover risk. Changes in Credit Enhancement (CE): As of the May 2026 distribution date, the aggregate balances of the JPMBB 2015-C29 and JPMBB 2016-C1 transactions have been paid down by 91.1% and 78.3%, respectively. The JPMBB 2016-C1 has 10 loans (10.9%) that are fully defeased while the JPMBB 2015-C29 transaction has no defeased loans. Cumulative interest shortfalls of $4.62 million are affecting classes E, F and the non-rated NR class in JPMBB 2015-C29 and $198,361 is affecting the non-rated NR class in JPMBB2016-C1. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Downgrades to classes rated in the 'AAsf' and 'Asf' categories, which have Negative Outlooks, could occur if performance for 5 Penn Plaza and 32 Avenue of the Americas and the specially serviced 7700 Parmer deteriorates further or more loans than expected default at or prior to maturity. - Downgrades to classes rated in the 'BBBsf', 'BBsf' and 'Bsf' categories are likely with higher than expected losses from continued underperformance of the FLOCs with deteriorating performance and with greater certainty of losses on the specially serviced loans. - Downgrades to distressed ratings would occur as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Upgrades to classes rated in the 'AAsf' and 'Asf' category may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable-to-improved pool-level loss expectations and improved performance on the Fitch Loans of Concern (FLOCs). Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentration of the potential for future concentration. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to the 'BBsf' and 'Bsf' category rated classes are not likely, but could be possible if the performance of the remaining pool is stable, recoveries on the FLOCs are better than expected and there is sufficient CE for the classes. Upgrades to distressed ratings are not expected, but possible with better than expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. LENDINGCLUB RATED 2026-P4: Fitch Assigns Bsf Rating on Cl. F Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the notes issued by LendingClub Rated Notes Issuer Trust, Series 2026-P4 (LENDR 2026-P4) as listed below. Entity/Debt Rating ----------- ------ LendingClub Rated Notes Issuer Trust, Series 2026-P4 A 52611XAA7 LT AAAsf New Rating B 52611XAB5 LT AAsf New Rating C 52611XAC3 LT Asf New Rating D 52611XAD1 LT BBBsf New Rating E 52611XAE9 LT BBsf New Rating F 52611XAF6 LT Bsf New Rating KEY RATING DRIVERS Strong Receivable Quality: The LENDR 2026-P4 pool comprises entirely prime loans: P1 (65.13%) and P2 (34.87%). P1 represents the highest credit quality/lowest risk, followed by P2. The LENDR 2026-P4 pool has a weighted average (WA) FICO score of 735; 16.14% of the pool has a FICO below 700, with a minimum FICO of 662. The obligors in the pool have a WA debt-to-income ratio (DTI) of 18.96%. The WA interest rate of the pool is 11.23%, and the pool has a WA remaining term of 51.92 months with close to negligible seasoning. Stabilizing Default Rate Trends: LendingClub's go-forward approved default rates for its prime loan portfolio, which collateralizes the capital structure, began to increase early in vintage year 2021 and saw a notable rise by vintage year 2022, and this continued into 1H23. However, since initiating corrective measures that included cutting originations to higher-risk grades, performance in the subsequent 2024 vintage is seeing improvement. Fitch's WA base case default assumption (the default assumption) for LENDR 2026-P4 is 9.95%. The default assumption was established based on data stratified by LendingClub's proprietary risk grade and loan term. In setting the base case gross default assumption, Fitch considered performance trends from vintage years 2021 and 2022 and recognized the improving default curves in the latter half of vintage year 2023, and in vintage year 2024. Credit Enhancement Mitigates Stressed Losses: Credit enhancement (CE) consists of overcollateralization (OC) and subordination for the senior tranche. Initial hard CE totals 42.64%, 31.22%, 19.39%, 10.60%, 5.87% and 1.90% for the class A, B, C, D, E and F notes, respectively. Although the transaction does not have a reserve account, initial CE is sufficient to cover Fitch's stressed cash flow assumptions for all classes. Fitch applied a 'AAAsf' rating stress of 4.25x the base case default rate for prime loans. The stress multiples decrease for lower rating levels, according to Fitch's "Consumer ABS Rating Criteria." The default multiple reflects the absolute value of the default assumption, the length of default performance history for the loans, WA borrower FICO scores and the WA original loan term, which increases the portfolio's exposure to changing economic conditions. Adequate Servicing Capabilities: LendingClub has a strong track record of servicing consumer loans since launching its online lending marketplace platform in 2007. LendingClub performs pre-charge-off loan servicing activities in-house; it also outsources post-charge-off activities to third parties. The bank is the lead servicer on all its securitization transactions. The trust has assigned CardWorks Servicing, LLC as backup servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Rating Sensitivity to Increased Defaults: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults increase by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBB-sf'/'B+sf'/'B-sf'; Base case defaults increase by 25%: 'AAsf'/'Asf'/'BBBsf'/'BB+sf'/'B-sf'/'NRsf'; Base case defaults increase by 50%: 'A+sf'/'BBB+sf'/'BBB-sf'/'BBsf'/'NRsf'/'NRsf'. Rating Sensitivity to Reduced Recoveries: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case recoveries decrease by 10%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BBsf'/'Bsf'; Base case recoveries decrease by 25%: 'AA+sf'/'AA-sf'/'A-sf'/'BBB-sf'/'BB-sf'/'Bsf'; Base case recoveries decrease by 50%: 'AA+sf'/'AA-sf'/'A-sf'/'BBsf'/'B+sf'/'B-sf'. Rating sensitivities to increased defaults and reduced recoveries: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults increase by 10% / base case recoveries decrease by 10%: 'AA+sf'/'A+sf'/'BBB+sf'/'BBsf'/'B+sf'/'CCCsf' Base case defaults increase by 25% / base case recoveries decrease by 25%: 'AA-sf'/'Asf'/'BBBsf'/'BBsf'/'CCCsf'/'NRsf' Base case defaults increase by 50% / base case recoveries decrease by 50%: 'Asf'/'BBB+sf'/'BB+sf'/'B+sf'/'NRsf'/'NRsf' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Rating Sensitivity to Decreased Defaults: Original Ratings: 'AAAsf'/'AAsf'/'Asf'/'BBBsf'/'BBsf'/'Bsf' Base case defaults decrease by 20%: 'AAAsf'/'AA+sf'/'A+sf'/'BBB-sf'/'BB+sf'/'BBsf' USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by PricewaterhouseCoopers LLP. The third-party due diligence described in Form 15E focused on a comparison of certain characteristics with respect to 100 randomly selected sample loans. In addition, for each sample loan, PricewaterhouseCoopers LLP observed that the loan contract has been electronically signed by the borrower. Fitch considered this information in its analysis and it did not have an effect on Fitch's analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. MAGNETITE XXXVIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to the Magnetite XXXVIII, Limited. reset transaction. Entity/Debt Rating ----------- ------ Magnetite XXXVIII, Limited A-1-R LT AAAsf New Rating A-2-R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1-R LT BBB-sf New Rating D-2-R LT BBB-sf New Rating E-R LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary Magnetite XXXVIII, Limited (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $499 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.84, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.52% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.46% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AA+sf' for class A-1-R, between 'Asf' and 'AA+sf' for class A-2-R, between 'BBB+sf' and 'A+sf' for class B-R, between 'BBsf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1-R, and between less than 'B-sf' and 'BBB-sf' for class D-2-R and between less than 'B-sf' and 'BBsf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, 'Asf' for class D-1-R, and 'BBB+sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Magnetite XXXVIII, Limited. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MAN US 2023-1: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to the Man US CLO 2023-1 Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Man US CLO 2023-1 Ltd. X LT NRsf New Rating A-1R LT NRsf New Rating A-2R LT AAAsf New Rating B 56166RAC6 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 56166RAE2 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 56166RAG7 LT PIFsf Paid In Full BBB-sf D-1R LT BBB+sf New Rating D-2R LT BBB-sf New Rating E 56166TAA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Man US CLO 2023-1 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Man Capital Management LLC. The transaction originally closed in August 2023. On June 12, 2026, all existing secured notes will be redeemed in full using net proceeds from the issuance of the new secured notes and subordinated notes. The transaction will finance a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.65, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.88% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.61% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 45% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1R, and between less than 'B-sf' and 'BBB-sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1R, and 'Asf' for class D-2R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Man US CLO 2023-1 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MENLO CLO V: S&P Assigns BB- (sf) Rating on Class E Notes --------------------------------------------------------- S&P Global Ratings assigned its ratings to Menlo CLO V Ltd./Menlo CLO V LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Permira US CLO Manager LLC, a subsidiary of Permira Credit LLC. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Menlo CLO V Ltd./Menlo CLO V LLC Class A, $272.00 million: AAA (sf) Class B, $51.00 million: AA (sf) Class C (deferrable), $25.50 million: A (sf) Class D (deferrable), $25.50 million: BBB- (sf) Class E (deferrable), $17.00 million: BB- (sf) Subordinated notes, $37.12 million: NR NR--Not rated. MIDOCEAN CREDIT XXIII: Fitch Assigns 'BB-sf' Rating on Cl. E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to MidOcean Credit CLO XXIII. Entity/Debt Rating ----------- ------ MidOcean Credit CLO XXIII X LT NRsf New Rating A-1 LT NRsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated Notes LT NRsf New Rating Transaction Summary MidOcean Credit CLO XXIII (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MidOcean Credit RR Manager LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 21.77 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 96.25% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.88% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB-sf' for class D-1, between less than 'B-sf' and 'BBB-sf' for class D-2, and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, 'Asf' for class D-2, and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for MidOcean Credit CLO XXIII. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. MOSAIC SOLAR 2022-3: Fitch Lowers Rating on Two Tranches to 'CCsf' ------------------------------------------------------------------ Fitch Ratings has downgraded the class C and class D notes of Mosaic Solar Loan Trust (Mosaic Trust) 2022-3, 2023-1 and 2023-3; the class D notes of Mosaic Trust 2022-2, 2023-2 and 2025-1; and the class C notes of Mosaic Trust 2024-1 and 2025-1. Fitch has also downgraded the class A and class B notes of Mosaic Trust 2022-3, the class A notes of Mosaic Trust 2024-1 and 2025-1, and the class B notes of Mosaic Trust 2024-1 and 2025-1. In addition, Fitch has revised the Rating Outlooks to Negative from Stable for the class B notes of Mosaic Trust 2022-3 and the class C notes of Mosaic Trust 2025-1. The Outlooks on the Mosaic Trust 2023-1 class A notes were revised to Stable from Negative. Fitch has affirmed the remaining ratings on 18 classes across nine Mosaic Trust transactions. Fitch does not typically assign Outlooks to classes rated 'CCC' or below. Entity/Debt Rating Prior ----------- ------ ----- Mosaic Solar Loan Trust 2022-1 A 61946QAA9 LT AA-sf Affirmed AA-sf Mosaic Solar Loan Trust 2022-2 A 61946UAA0 LT AA-sf Affirmed AA-sf B 61946UAB8 LT A-sf Affirmed A-sf C 61946UAC6 LT CCCsf Affirmed CCCsf D 61946UAD4 LT CCsf Downgrade CCCsf Mosaic Solar Loan Trust 2022-3 A 61946KAA2 LT A+sf Downgrade AA-sf B 61946KAB0 LT BBB-sf Downgrade A-sf C 61946KAC8 LT CCsf Downgrade Bsf D 61946KAD6 LT CCsf Downgrade CCCsf Mosaic Solar Loan Trust 2023-1 Class A 61945VAA9 LT Asf Affirmed Asf Class B 61945VAB7 LT BBBsf Affirmed BBBsf Class C 61945VAC5 LT CCCsf Downgrade B-sf Class D 61945VAD3 LT CCsf Downgrade CCCsf Mosaic Solar Loan Trust 2023-2 Class A 61945WAA7 LT A-sf Downgrade Asf Class B 61945WAB5 LT BBB-sf Affirmed BBB-sf Class C 61945WAC3 LT CCCsf Affirmed CCCsf Class D 61945WAD1 LT CCsf Downgrade CCCsf Mosaic Solar Loan Trust 2023-3 A 618933AA3 LT AA-sf Affirmed AA-sf B 618933AB1 LT A-sf Affirmed A-sf C 618933AC9 LT BB-sf Downgrade BBB-sf D 618933AD7 LT CCCsf Downgrade B+sf Mosaic Solar Loan Trust 2023-4 A 618934AA1 LT AA-sf Affirmed AA-sf B 618934AB9 LT A-sf Affirmed A-sf C 618934AC7 LT Bsf Downgrade BBB-sf D 618934AD5 LT CCCsf Affirmed CCCsf Mosaic Solar Loan Trust 2024-1 A 618937AA4 LT Asf Downgrade AA-sf B 618937AB2 LT BBBsf Downgrade A-sf C 618937AC0 LT CCCsf Downgrade BBB-sf D 618937AD8 LT CCCsf Downgrade B-sf Mosaic Solar Loan Trust 2025-1 A 61945HAA0 LT A-sf Downgrade AA-sf B 61945HAB8 LT BBBsf Downgrade Asf C 61945HAC6 LT B-sf Downgrade BBB-sf D U6200HAD6 LT CCCsf Downgrade BB-sf Transaction Summary The Mosaic Trust transactions are securitizations of consumer loans originated by Solar Mosaic, LLC (Mosaic) and backed by photovoltaic systems and/or batteries to store the energy produced. The downgrades of the notes from the transactions are primarily driven by their continued susceptibility to economic pressures resulting from lower prepayment rates and rising default levels. Since these transactions closed, there has been a notable decrease in overcollateralization and substantial negative excess spread, exacerbating the financial strain on subordinated notes. For class C and D notes subject to downgrades, they also reflect their volatile performance caused by structural features, including transaction's triggers related to cumulative net defaults, the deals' target overcollateralization (OC) and yield supplement OC (YSOC) mechanisms, which alter the principal payment positions of classes C and D in the waterfall. These economic trends are shown by the class A and B notes in the deals, which have not yet achieved their target OC. The prepayment rates have fallen short of Fitch's initial projections, leading to extended note life cycles and heightened exposure to loss risks. In addition, the broader economic environment, characterized by subdued housing activity and anticipated delayed monetary easing, suggests that prepayments will continue to remain low, impacting the credit enhancement (CE) levels available to safeguard against defaults. These factors collectively underscore the vulnerabilities faced by Mosaic Trust's transactions, prompting the downgrades and reflecting Fitch's adjusted assessment of future performance. The Negative Outlooks reflect the heightened exposure of these tranches to (i) asset performance remaining volatile, and (ii) continuing lower-than-expected prepayment rates. The affirmations reflect Fitch's assessment that available CE to each affirmed class is commensurate with Fitch's assumed losses at the relevant rating level. Assumed losses also incorporate the risk of short-term asset performance deterioration due to the originator's bankruptcy. No impact from the originator's bankruptcy has been observed so far. The Stable Outlooks reflect the stronger credit protection available to these bonds, more limited exposure to volatile asset performance and decreasing asset prepayment levels. KEY RATING DRIVERS Prepayments Exacerbate Negative Excess Spread: Prepayments in Solar Mosaic ABS transactions issued in 2022 and early 2023 (2022-1, 2022-3, 2023-1 and 2023-2) have been materially below Fitch's initial expectations. Conversely, prepayments in newer deals (2023-3, 2023-4, 2024-1 and 2025-1) have been closer to Fitch's initial expectations. Fitch has maintained the prepayment assumptions on the FICO distribution-based levels assigned for the 2025-1 deal, which results in the post-Investment Tax Credit weighted-average (WA) base case annual prepayment rate assumptions of around 6% per annum for all Mosaic Trust transactions. Low prepayments exacerbate the impact of negative excess spread on the Mosaic Trust transactions' credit profiles. The current WA cost of funds (rebased to stated principal balance) for these deals ranges from 3.61% to 7.70%, which yield annual excess spreads assuming stressed fees of 0.90% ranging from -3.96% to -1.12%. While the loans were purchased at a discount to mitigate negative or low excess spreads, the lower prepayments extend the life of rated notes increasing losses due to negative excess spreads. This leaves less CE to protect against credit losses, which affects certain subordinated notes in particular. Lower Prepayments and Negative Excess Spread Drive Downgrades and Revisions in Rating Outlooks: The downgrades reflect vulnerability to the effects of lower prepayment rates. Class C and D notes do not receive any principal distributions until the class A and B notes reach the target CE level (as a percentage of adjusted pool balance — i.e., pool balance net of YSOC). As lower prepayments early in the transaction's life increase the YSOC, the target has not been reached for any of the deals, and C and D have been locked out from principal distributions. Fitch expects prepayment rates to remain subdued in the short term because most Fitch-rated Mosaic transactions have seasoned beyond their re-amortization date. Low housing activity, driven by high mortgage rates, supports this view. All the Mosaic transactions, except for Mosaic Trust 2025-1 now exhibit seasoning that exceeds the re-amortization term. As a result, Fitch has applied a post re-amortization prepayment assumption in its analysis , unchanged from the last review. Continued Volatile Asset Performance: Fitch updated its base case default rate for the remaining life of the transactions and reviewed its default multipliers. The updated base case default rate assumptions and default rate multiples reflect: (i) additional FICO-based performance data, (ii) different FICO weights by transaction, and (iii) Fitch's macroeconomic outlook. Fitch maintained its WA lifetime base case default assumptions of 10.41% and 12.63% for Mosaic Trust 2022-1, 2022-2, and raised the WA lifetime base case default assumptions to 13.32%, 13.05%, 13.38%, 13.16%, 17.91%, 16.35% and 16.11% for Mosaic Trust 2023-1. 2023-2, 2023-3, 2023-4, 2024-1 and 2025-1, respectively. The related WA rating default multiples on the most senior notes (AA-sf, for Mosaic Trust 2022-1, 2022-2, 2023-3 and 2023-4, A+sf for Mosaic Trust 2022-3, Asf for Mosaic Trust 2023-1 and 2024-1, and A-sf for Mosaic Trust 2023-2 and 2025-1) are 3.53x, 3.40x, 3.35x, 3.00x, 3.03x, 2.75x, 2.59x, 2.51x, and 2.38x, respectively. Mosaic Trust 2023-4, 2024-1 and 2025-1 defaults stand out as worse than Fitch's expectations. Driven by underperformance particularly of higher FICO borrowers, defaults decreased CE on the class C and class D notes. The Negative Outlooks on the class C and D notes for 2023-4, 2024-1 and 2025-1 reflect the worse than expected default performance and class D's particular vulnerability to this underperformance. For more seasoned transactions, cumulative recoveries on defaulted loans represent about 6%-8% of the balance of all defaults as of May 2026. The low observations are consistent with the low seasoning of the transactions and the typically long recovery for photovoltaic loans. Fitch has maintained the base case recovery assumption of 35% used for Mosaic 2025-1, a 'AA-sf' recovery haircut of 44% and a recovery lag assumption of 48 months. Completed Servicing Transition: Following Chapter 11 resolution, Solar Servicing stepped in as replacement servicer for all the solar loan securitizations included. Concord Servicing, LLC, in its capacity as subservicer for the transactions, continues to conduct most of the day-to-day servicing as it was before Chapter 11 filings. Solar Servicing LLC is a wholly owned subsidiary of Forbright Bank (unrated), newly formed specifically to take over Mosaic's servicing business. Forbright Bank is headquartered in Chevy Chase Maryland, and was established in 2003 as Congressional Bank and rebranded in 2022. Vervent Inc. remains backup servicer following the servicer transition. Under Mosaic ABS transaction documents, the replacement servicer Vervent would need to step in within 45 calendar days from a servicer termination event affecting the newly appointed servicer. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Material changes in policy support; - The economics of purchasing and financing photovoltaic panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete; - Longer or more severe than expected asset performance deterioration (see Key Rating Drivers above). Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Fitch currently caps these transactions' ratings in the 'AAsf' category due to limited performance history, while the assigned 'AA-sf' rating is further constrained by the level of CE. As a result, a positive rating action could result from an increase of CE due to deleveraging, underpinned by low defaults and sustained high prepayments. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NEUBERGER BERMAN 64: Fitch Assigns 'BB-sf' Rating on Class E Notes ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to Neuberger Berman Loan Advisers CLO 64, Ltd. Entity/Debt Rating Prior ----------- ------ ----- Neuberger Berman Loan Advisers CLO 64, Ltd. A-1 LT NRsf New Rating NR(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf B LT AAsf New Rating AA(EXP)sf C LT Asf New Rating A(EXP)sf D-1 LT BBB-sf New Rating BBB-(EXP)sf D-2 LT BBB-sf New Rating BBB-(EXP)sf E LT BB-sf New Rating BB-(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Neuberger Berman Loan Advisers CLO 64, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Loan Advisers IV LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.23 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.78% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.88% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2, between 'BBB-sf' and 'A+sf' for class B, between 'BB-sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBB+sf' for class D-1, and between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BB+sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'Asf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. Date of Relevant Committee 09 June 2026 ESG Considerations Fitch does not provide ESG relevance scores for Neuberger Berman Loan Advisers CLO 64, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. NEW RESIDENTIAL 2026-NQM7: Fitch Rates Class B2 Notes 'B-sf' ------------------------------------------------------------ Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by New Residential Mortgage Loan Trust, Series 2026-NQM7 (NRMLT 2026-NQM7). Entity/Debt Rating Prior ----------- ------ ----- NRMLT 2026-NQM7 A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1FCF LT AAAsf New Rating AAA(EXP)sf A1LCF LT AAAsf New Rating AAA(EXP)sf A1 LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf M1 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BB-sf New Rating BB-(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf XS LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are supported by 890 nonprime loans that were primarily originated by NewRez LLC (NewRez), with a total balance of approximately $483.8 million as of the cutoff date. KEY RATING DRIVERS Credit Risk of Mortgage Assets (Positive): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. NRMLT 2026-NQM7 has a final probability of default (PD) of 37.9% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 41.7%. The expected loss in the 'AAAsf' rating stress is 15.8%. Structural Analysis (Positive): The mortgage cash flow and loss allocation in NRMLT 2026-NQM7 are based on a modified sequential structure, whereby the principal is distributed pro rata among the senior certificates while subordinate bonds are shut out from principal until all senior classes are reduced to zero. If a cumulative loss trigger event or delinquency trigger event occurs in a given period, principal will be distributed sequentially to the collective class A-1 notes (namely, the A-1FCF, A-1LCF, A-1A and A-1B notes), A-2 notes and A-3 notes, until they are reduced to zero. Among the collective class A-1 notes, interest and principal payments will be made either pro rata or sequentially depending on which combination of A-1 notes is outstanding. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis (Positive): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction. Fitch applies a 5-bp reduction for loans fully reviewed by a third-party review (TPR) firm that has a final grade of either "A" or "B." Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. Additionally, all legal requirements should be satisfied to fully de-link the transaction from any other entities. NRMLT 2026-NQM7 is a fully de-linked and bankruptcy-remote, special-purpose vehicle (SPV). All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to NRMLT 2026-NQM7; therefore, Fitch is comfortable rating to the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model projected 37.9% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by several firms. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp origination PD credit for loans fully reviewed by the TPR firm and have a final grade of either "A" or "B." ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. NORTHWOODS CAPITAL XVIII: Moody's Affirms B1 Rating on Cl. E Notes ------------------------------------------------------------------ Moody's Ratings (has upgraded the rating on the following notes issued by Northwoods Capital XVIII, Limited: US$20M Class C-R Mezzanine Secured Deferrable Floating Rate Notes, Upgraded to Aa1 (sf); previously on Dec 4, 2025 Upgraded to Aa3 (sf) Moody's have also affirmed the ratings on the following notes: US$292.5 million (Current outstanding amount US$143,167,104) Class A-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 4, 2025 Affirmed Aaa (sf) US$48.5 million Class B-R Senior Secured Floating Rate Notes, Affirmed Aaa (sf); previously on Dec 4, 2025 Upgraded to Aaa (sf) US$27 million Class D-R Mezzanine Secured Deferrable Floating Rate Notes, Affirmed Baa2 (sf); previously on Dec 4, 2025 Affirmed Baa2 (sf) US$26 million Class E Junior Secured Deferrable Floating Rate Notes, Affirmed B1 (sf); previously on Dec 4, 2025 Downgraded to B1 (sf) Northwoods Capital XVIII, Limited, originally issued in May 2019 and later refinanced in November 2021, is a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured US loans. The portfolio is managed by Angelo, Gordon & Co., L.P.. The transaction's reinvestment period ended in May 2024. RATINGS RATIONALE The upgrade on the rating on the Class C-R notes is primarily a result of the significant deleveraging of the Class A-R notes following amortisation of the underlying portfolio since the last rating action in December 2025. The affirmations on the ratings on the Class A-R, B-R, D-R and E notes are primarily a result of the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features and its actual over-collateralisation ratios. The Class A-R notes have paid down by approximately USD54.6 million (18.67%) since the last rating action in December 2025. As a result of the deleveraging, Class A/B, Class C and Class D over-collateralisation (OC) has increased. According to the trustee report dated May 2026[1] the Class A/B, Class C and Class D OC ratios are reported at 138.70%, 127.28% and 114.54% compared to November 2025[2] levels of 133.83%, 124.56% and 113.91%, respectively. The deleveraging primarily resulted from high prepayment rates of leveraged loans in the underlying portfolio. Most of the prepaid proceeds have been applied to amortise the liabilities. All else held equal, such deleveraging is generally a positive credit driver for the CLO's rated liabilities. The key model inputs Moody's uses in Moody's analysis, such as par, weighted average rating factor, diversity score and the weighted average recovery rate, are based on Moody's published methodology and could differ from the trustee's reported numbers. In Moody's base case, Moody's used the following assumptions: Performing par and principal proceeds balance: USD279.06m Defaulted Securities: USD0 Diversity Score: 49 Weighted Average Rating Factor (WARF): 2773 Weighted Average Life (WAL): 3.07 years Weighted Average Spread (WAS): 2.83% Weighted Average Recovery Rate (WARR): 46.84% Par haircut in OC tests and interest diversion test: 0% The default probability derives from the credit quality of the collateral pool and Moody's expectations of the remaining life of the collateral pool. The estimated average recovery rate on future defaults is based primarily on the seniority of the assets in the collateral pool. In each case, historical and market performance and a collateral manager's latitude to trade collateral are also relevant factors. Moody's incorporates these default and recovery characteristics of the collateral pool into Moody's cash flow model analysis, subjecting them to stresses as a function of the target rating of each CLO liability it is analysing. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Counterparty Exposure: The rating action took into consideration the debt's exposure to relevant counterparties using the methodology "Structured Finance Counterparty Risks" published in May 2025. Moody's concluded the ratings of the debt are not constrained by these risks. Factors that would lead to an upgrade or downgrade of the ratings: The rated notes' performance is subject to uncertainty. The notes' performance is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The collateral manager's investment decisions and management of the transaction will also affect the notes' performance. Additional uncertainty about performance is due to the following: Portfolio amortisation: The main source of uncertainty in this transaction is the pace of amortisation of the underlying portfolio, which can vary significantly depending on market conditions and have a significant impact on the notes' ratings. Amortisation could accelerate as a consequence of high loan prepayment levels or collateral sales by the collateral manager or be delayed by an increase in loan amend-and-extend restructurings. Fast amortisation would usually benefit the ratings of the notes beginning with the notes having the highest prepayment priority. In addition to the quantitative factors that Moody's explicitly modelled, qualitative factors are part of the rating committee's considerations. These qualitative factors include the structural protections in the transaction, its recent performance given the market environment, the legal environment, specific documentation features, the collateral manager's track record and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from Moody's other analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, can influence the final rating decision. OCEAN TRAILS XVIII: S&P Assigns BB- (sf) Rating on Class E Notes ---------------------------------------------------------------- S&P Global Ratings assigned its ratings to Ocean Trails CLO XVIII /Ocean Trails CLO XVIII LLC's floating-rate debt. The debt issuance is a CLO securitization governed by investment criteria and backed primarily by broadly syndicated speculative-grade (rated 'BB+' or lower) senior secured term loans. The transaction is managed by Five Arrows Managers North America LLC, a subsidiary of Rothschild & Co. The ratings reflect S&P's view of: -- The diversification of the collateral pool; -- The credit enhancement provided through subordination, excess spread, and overcollateralization; -- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management; and -- The transaction's legal structure, which is expected to be bankruptcy remote. S&P said, "In some cases, our credit and cash flow analysis suggest that the available credit enhancement for the CLO debt could withstand stresses commensurate with higher rating levels than those we have assigned. However, given the various factors and assumptions incorporated in our quantitative analysis and the fact that most CLOs are permitted to modify their portfolios, we may assign lower ratings to the debt than what our model results suggest." Ratings Assigned Ocean Trails CLO XVIII/Ocean Trails CLO XVIII LLC Class A-1, $252.00 million: AAA (sf) Class A-2, $12.00 million: AAA (sf) Class B, $40.00 million: AA (sf) Class C (deferrable), $24.00 million: A (sf) Class D-1 (deferrable), $24.00 million: BBB (sf) Class D-2 (deferrable), $4.00 million: BBB- (sf) Class E (deferrable), $12.00 million: BB- (sf) Subordinated notes, $36.98 million: not rated OCP CLO 2024-32: Fitch Assigns 'BB-sf' Rating on Class E-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OCP CLO 2024-32, Ltd. reset transaction. Entity/Debt Rating ----------- ------ OCP CLO 2024-33, Ltd. A-1R LT AAAsf New Rating A-2R LT AAAsf New Rating B-R LT AAsf New Rating C-R LT Asf New Rating D-1R LT BBB-sf New Rating D-2R LT BBB-sf New Rating E-R LT BB-sf New Rating Equity LT NRsf New Rating Transaction Summary OCP CLO 2024-33, Ltd (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Onex Credit Partners, LLC that originally closed in June 2024 and will be refinanced in whole on June 22, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.21 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.78% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.03% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1R, between 'BBB+sf' and 'AA+sf' for class A-2R, between 'BB+sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBBsf' for class D-1R, between less than 'B-sf' and 'BBB-sf' for class D-2R, and between less than 'B-sf' and 'BB-sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1R and class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-1R, 'A+sf' for class D-2R, and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for OCP CLO 2024-33, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. OCP CLO 2026-50: Fitch Assigns 'BB-sf' Rating on Class E Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OCP CLO 2026-50, Ltd. Entity/Debt Rating ----------- ------ OCP CLO 2026-50, Ltd. A-1 LT AAAsf New Rating A-2 LT AAAsf New Rating B LT AAsf New Rating C LT Asf New Rating D-1 LT BBB-sf New Rating D-2 LT BBB-sf New Rating E LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary OCP CLO 2026-50, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Onex Credit Partners, LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.13% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.32% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to recent CLOs. Fitch Ratings' analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. These results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-1 notes, between 'BBB+sf' and 'AA+sf' for class A-2 notes, between 'BBB-sf' and 'A+sf' for class B notes, between 'B+sf' and 'A-sf' for class C notes, between less than 'B-sf' and 'BBBsf' for class D-1 notes, between less than 'B-sf' and 'BBB-sf' for class D-2 notes, and between less than 'B-sf' and 'BBsf' for class E notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2 notes because these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B notes, 'AA+sf' for class C notes, 'A+sf' for class D-1 notes, 'A+sf' for class D-2 notes, and 'BBB+sf' for class E notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for OCP CLO 2026-50, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. OHA LOAN 2013-1: Fitch Assigns 'BB-sf' Rating on Class E-R4 Notes ----------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to OHA Loan Funding 2013-1, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- OHA Loan Funding 2013-1, Ltd. A-1-R3 67706HBS6 LT PIFsf Paid In Full AAAsf A-1-R4 LT AAAsf New Rating A-1L Loans LT AAAsf New Rating A-2-R3 67706HBU1 LT PIFsf Paid In Full AAAsf A-2-R4 LT AAAsf New Rating B-R4 LT AAsf New Rating C-R4 LT Asf New Rating D-1-R4 LT BBB-sf New Rating D-2-R4 LT BBB-sf New Rating E-R4 LT BB-sf New Rating Transaction Summary OHA Loan Funding 2013-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by Oak Hill Advisors, L.P. The transaction originally closed in July 2013 and is being reset for the fourth time. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.68, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.39% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.77% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 48.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1, between 'BBB+sf' and 'AA+sf' for class A-2-R4, between 'BB+sf' and 'A+sf' for class B-R4, between 'B+sf' and 'Asf' for class C-R4, between less than 'B-sf' and 'BBBsf' for class D-1-R4, and between less than 'B-sf' and 'BBB-sf' for class D-2-R4 and between less than 'B-sf' and 'BBsf' for class E-R4. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1 and class A-2-R4 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R4, 'AA+sf' for class C-R4, 'A+sf' for class D-1-R4, and 'A+sf' for class D-2-R4 and 'BBB+sf' for class E-R4. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for OHA Loan Funding 2013-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. ORION CLO 2024-3: Fitch Assigns BB+sf Final Rating on Cl. E-R Notes ------------------------------------------------------------------- Fitch Ratings has assigned final ratings and Rating Outlooks to Orion CLO 2024-3 Ltd. Entity/Debt Rating Prior ----------- ------ ----- Orion CLO 2024-3 Ltd. X LT AAAsf New Rating AAA(EXP)sf A-1-R LT AAAsf New Rating AAA(EXP)sf A-2-R LT AAAsf New Rating AAA(EXP)sf B-R LT AA+sf New Rating AA+(EXP)sf C-R LT A+sf New Rating A+(EXP)sf D-R LT BBB+sf New Rating BBB+(EXP)sf E-R LT BB+sf New Rating BB+(EXP)sf F LT NRsf New Rating NR(EXP)sf Subordinated Notes LT NRsf New Rating NR(EXP)sf Transaction Summary Orion CLO 2024-3 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Antares Liquid Credit Strategies LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.67% first-lien senior secured loans and has a weighted average recovery assumption of 73.21%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is 12 months less than the WAL covenant to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X, between 'Asf' and 'AAAsf' for class A-1-R, between 'A-sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'AA-sf' for class B-R, between 'B+sf' and 'A+sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-R, and between less than 'B-sf' and 'BB+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X, class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R, 'A+sf' for class D-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Orion CLO 2024-3 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PALMER SQUARE 2018-1: Fitch Assigns 'BBsf' Rating on Cl. D-R Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the Palmer Square CLO 2018-1 (the issuer) refinancing classes X-R, A-1-R2, A-2-R2, and B-R2 notes, each with a Stable Rating Outlook. Fitch has also affirmed the ratings of classes C-R and D-R, each with a Stable Outlook. Entity/Debt Rating Prior ----------- ------ ----- Palmer Square CLO 2018-1 Ltd. X-R LT AAAsf New Rating A-1-R 69703PAL3 LT PIFsf Paid In Full AAAsf A-1-R2 LT AAAsf New Rating A-2-R 69703PAN9 LT PIFsf Paid In Full AAsf A-2-R2 LT AAsf New Rating B-R 69703PAQ2 LT PIFsf Paid In Full Asf B-R2 LT Asf New Rating C-R 69703PAS8 LT BBB-sf Affirmed BBB-sf D-R 69689GAE7 LT BBsf Affirmed BBsf Transaction Summary Palmer Square CLO 2018-1, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by Palmer Square Capital Management LLC originally closed. Fitch rated the reset of the transaction on March 28, 2024. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $461 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B'/'B-', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.75. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard CLO structural features. Asset Security: The indicative portfolio consists of 96.3% first lien senior secured loans and has a weighted average recovery assumption of 72.7%. Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses. Portfolio Composition: The largest three industries may comprise up to 39% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 2.8-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. Key Provision Changes The refinancing is being implemented via the third supplemental indenture, which amended certain provisions of the transaction. The changes include but are not limited to the following: - Spreads have been reduced for all classes of refinanced notes; - The non-call period for the refinanced notes has been extended to June 18, 2027; - Stated maturity on the refinanced notes and the reinvestment period end date remain the same as the original notes. FITCH ANALYSIS The portfolio includes 414 assets from 352 primarily high yield obligors. In Fitch's view, 0.7% of the portfolio consists of assets that are rated 'CC' or below. The portfolio balance (excluding defaults and including principal cash) is approximately $468 million. As of the latest trustee report prior to the refinance date, the transaction was not passing its Maximum Moody's Rating Factor Test and Minimum Weighted Average Coupon tests. All other collateral quality tests, coverage tests, and concentration limitations were passing. The weighted average rating of the current portfolio is 'B'/'B-'. Fitch has an explicit rating, credit opinion or private rating for 41.5% of the current portfolio par balance; ratings for 57.5% of the portfolio were derived using Fitch's Issuer Default Rating equivalency map; and 1.0% were unrated. As per Fitch's criteria, the analysis focused on the Fitch stressed portfolio (FSP) for the refinancing notes and on the indicative portfolio for the non-refinanced notes, if any. The FSP included the following concentrations, reflecting the maximum limitations per the indenture or maintained at the current level: - Largest five obligors: 2.5% each, for an aggregate of 12.5%; - Largest three industries: 15.0%, 12.0%, and 12.0%, respectively; - Assumed risk horizon: six years; - Minimum weighted average spread of 3.10%; - Fixed-rate assets: 5.00%; - 'CCC' obligors as defined by Fitch's ratings: 7.5%; - Minimum weighted average coupon of 6.05%; - Non-first priority senior secured assets: 10.0%. The transaction will exit its reinvestment period on April 18, 2029. Fitch Asset and Cash Flow Analysis The Fitch model outputs are shown below. For each class, the notes passed all nine cash flow scenarios under the assigned rating scenarios with the minimum default cushions indicated. Current Portfolio Model Outputs: - Class X-R: 'AAAsf' / Default 42.80% / Recovery 38.79% / Cushion 57.20%; - Class A-1-R2: 'AAAsf' / Default 42.80% / Recovery 38.79% / Cushion 13.80%; - Class A-2-R2: 'AAsf' / Default 39.90% / Recovery 47.87% / Cushion 10.80%; - Class B-R2: 'Asf' / Default 35.50% / Recovery 57.75% / Cushion 14.10%; - Class C-R: 'BBB-sf' / Default 27.40% / Recovery 67.52% / Cushion 14.80%; - Class D-R: 'BBsf' / Default 24.60% / Recovery 72.76% / Cushion 8.50%. FSP Model Outputs - Class X-R: 'AAAsf' / Default 50.90% / Recovery 35.69% / Cushion 49.10%; - Class A-1-R2: 'AAAsf' / Default 50.90% / Recovery 35.69% / Cushion 4.40%; - Class A-2-R2: 'AAsf' / Default 47.40% / Recovery 43.82% / Cushion 2.00%; - Class B-R2: 'Asf' / Default 42.50% / Recovery 53.40% / Cushion 6.30%; - Class C-R: 'BBB-sf' / Default 33.80% / Recovery 62.77% / Cushion 8.10%; - Class D-R: 'BBsf' / Default 30.50% / Recovery 67.81% / Cushion 2.30%. Fitch assigned the refinancing classes A-2-R2 notes a rating of 'AAsf' with a Stable Outlook, one notch below the model-implied rating (MIR) of 'AA+sf', and B-R2 notes a rating of 'Asf' with a Stable Outlook, one notch below the MIR of 'A+sf'. Fitch affirmed the non-refinancing class C-R notes at 'BBB-sf' with a Stable Outlook, two notches below the MIR of 'BBB+sf', and D-R notes at 'BBsf' with a Stable Outlook, one notch below the MIR of 'BB+sf'. In Fitch's view, the MIR for classes A-2-R2, B-R2, C-R, and D-R does not adequately reflect the transaction's recent adverse performance trend, including realized losses in the current portfolio, or the below-average credit enhancement available to these tranches. These factors indicate a higher likelihood of further credit deterioration and weaker recovery prospects, increasing the tranches' sensitivity to additional portfolio stress. Fitch therefore believes that an upgrade in line with the MIR could be reversed in the near term. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'Asf' and 'AA+sf' for class A-1-R2, between 'BBB-sf' and 'A+sf' for class A-2-R2, between 'B+sf' and 'A+sf' for class B-R2, between less than 'B-sf' and 'BBBsf' for class C-R, and between less than 'B-sf' and 'B+sf' for class D-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-1-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R2, 'AA+sf' for class B-R2, 'A+sf' for class C-R, and 'BBB+sf' for class D-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Palmer Square CLO 2018-1, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. PFP 2026-14: Fitch Assigns 'B-sf' Rating on Class G Notes --------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to PFP 2026-14, Ltd. as follows: - $760,500,000a class A 'AAAsf'; Outlook Stable; - $160,875,000a class A-S 'AAAsf'; Outlook Stable; - $89,375,000a class B 'AA-sf'; Outlook Stable; - $69,875,000a class C 'A-sf'; Outlook Stable; - $42,250,000a class D 'BBBsf'; Outlook Stable; - $19,500,000a class E 'BBB-sf'; Outlook Stable; - $37,375,000b class F 'BB-sf'; Outlook Stable; - $24,375,000b class G 'B-sf'; Outlook Stable. The following class is not rated by Fitch: - $95,875,000b preferred shares. (a) Privately placed and pursuant to Rule 144A. (b) Horizontal risk retention interest, estimated to be 12.125% of the notional amount of the notes. The approximate collateral interest balance as of the cutoff date is $1,062,333,926 and does not include future funding. The pool also includes ramp-up collateral interest of $237.7 million. The ratings are based on information provided by the issuer as of June 11, 2026. Entity/Debt Rating Prior ----------- ------ ----- PFP 2026-14 A LT AAAsf New Rating AAA(EXP)sf A-S LT AAAsf New Rating AAA(EXP)sf B LT AA-sf New Rating AA-(EXP)sf C LT A-sf New Rating A-(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BBB-sf New Rating BBB-(EXP)sf F LT BB-sf New Rating BB-(EXP)sf G LT B-sf New Rating B-(EXP)sf Preferred Shares LT NRsf New Rating NR(EXP)sf Transaction Summary The notes are collateralized by 30 loans secured by 32 commercial properties having an aggregate principal balance of $1,062,333,926 as of the cutoff date. The pool also includes ramp-up collateral interest of $237.7 million. The ramp period lasts for six months from settlement, and the reinvestment period lasts for 30 months from settlement. The pool does not include $50.0 million of expected future funding. The loans were contributed to the issuer by PFP 2026-14 Depositor, LLC. The servicer is Trimont LLC, and the special servicer is Prime Finance Special Servicing, LLC. The trustee is Wilmington Trust, National Association, and the note administrator is Computershare Trust Company, National Association. The notes follow a sequential paydown structure. KEY RATING DRIVERS Fitch Net Cash Flow: Fitch performed cash flow analyses on 24 loans in the pool (87.0% by balance). Fitch's resulting aggregate net cash flow (NCF) of $26.2 million represents a 9.3% decline from the issuer's aggregate underwritten NCF of $28.9 million, excluding loans for which Fitch utilized an alternate value analysis. Aggregate cash flows include only the pro-rated collateral interest portion of any pari passu loan. Lower Fitch Leverage: The pool has lower leverage than recent CRE CLO transactions rated by Fitch. The pool's Fitch loan‐to‐value (LTV) ratio of 136.1% is lower than both the 2025 and 2024 CRE CLO averages of 139.6% and 140.7%, respectively. However, the pool's Fitch NCF debt yield (DY) of 6.3% is in line with both the 2025 and 2024 CRE CLO averages of 6.5% and 6.5%, respectively. Better Pool Diversity: The pool diversity is better than recent Fitch-rated CRE CLO transactions. The top 10 loans make up 56.0% of the pool, which is lower than both the 2025 and 2024 CRE CLO averages 61.7% and 70.5%, respectively. Fitch measures loan concentration risk using an effective loan count, which accounts for both the number and size of loans in the pool. The pool's effective loan count is 22.7. Fitch views diversity as a key mitigant to idiosyncratic risk. Fitch raises the overall loss for pools with effective loan counts below 40. Limited Amortization: The pool comprises of 98.6% partial interest-only (IO) loans, based on fully extended loan terms. This is better than both the 2025 and 2024 CRE CLO averages of 26.0% and 43.2%, respectively. As a result, the pool is expected to have 1.9% principal paydown by fully extended maturity of the loans. By comparison, the average scheduled paydowns for Fitch‐rated U.S. CRE CLO transactions during 2025 and 2024 were 0.5% and 0.6%, respectively. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Decline: 'AAsf'/'A-sf'/'BBBsf'/'BB+sf'/'BB-sf' /'CCC+sf'/' Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Original Rating: 'AAAsf'/'AA-sf'/'A-sf'/'BBBsf'/'BBB-sf'/'BB-sf'/'B-sf'; - 10% NCF Increase: 'AAAsf'/'AAsf'/'Asf'/'BBB+sf'/'BBBsf' /'BB+sf'/'B+sf'. SUMMARY OF FINANCIAL ADJUSTMENTS This transaction utilizes note protection tests to provide additional credit enhancement (CE) to the investment-grade noteholders, if needed. The note protection tests comprise an interest coverage test and a par value test at the 'BBB-' level (class E) in the capital structure. Should either of these metrics fall below a minimum requirement, then interest payments to the retained notes are diverted to pay down the senior most notes. This diversion of interest payments continues until the note protection tests are back above their minimums. As a result of this structural feature, Fitch's analysis of the transaction included an evaluation of the liabilities structure under different stress scenarios. To undertake this evaluation, Fitch used the cash flow modeling referenced in the Fitch criteria "U.S. and Canadian Multiborrower CMBS Rating Criteria." Different scenarios were run where asset default timing distributions and recovery timing assumptions were stressed. Key inputs, including Rating Default Rate (RDR) and Rating Recovery Rate (RRR), were based on the CMBS multiborrower model output in combination with CMBS analytical insight. The cash flow modeling results showed that the default rates in the stressed scenarios did not exceed the available CE in any stressed scenario. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Deloitte & Touche LLP. The third-party due diligence described in Form 15E focused on a comparison and re-computation of certain characteristics with respect to each of the mortgage loans. Fitch considered this information in its analysis, and it did not have an effect on its analysis or conclusions. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. PIKES PEAK 16: Fitch Assigns 'BB-(EXP)sf' Rating on Class E-R Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to the Pikes Peak CLO 16 Ltd reset transaction. Entity/Debt Rating ----------- ------ Pikes Peak CLO 16 Ltd X-R LT NR(EXP)sf Expected Rating A-1-R LT NR(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-1-R LT A(EXP)sf Expected Rating C-2-R LT A(EXP)sf Expected Rating D-1-R LT BBB(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating Transaction Summary Pikes Peak CLO 16 Ltd is an arbitrage cash flow collateralized loan obligation (CLO) issuer that will be managed by Partners Group CLO Advisers LP. The transaction originally closed in June 2024 and is being reset for the first time. Net proceeds from the issuance of the secured and subordinated notes will finance a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.11, and the portfolio will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality. However, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.38% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.11%, and the portfolio will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43% of the portfolio balance in aggregate while the top five obligors can represent up to 11.5% of the portfolio balance in aggregate at the initial example matrix point. The portfolio's diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio that Fitch created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. Under Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in these metrics. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2-R, between 'BB+sf' and 'A+sf' for class B-R, between 'Bsf' and 'A-sf' for class C-R (class C-1-R and C-2-R, collectively), between less than 'B-sf' and 'BBBsf' for class D-1-R, between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes because these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in these metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA+sf' for class C-R (class C-1-R and C-2-R, collectively), 'A+sf' for class D-1-R, 'A+sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to or reviewed by Fitch for this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Pikes Peak CLO 16 Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. PMT LOAN 2026-CNF5: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 43 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-CNF5 and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages aggregated by PennyMac Corp., originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-CNF5 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aa1 (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-21, Definitive Rating Assigned Aa1 (sf) Cl. A-22, Definitive Rating Assigned Aa1 (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-23X*, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-24X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X4*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X10*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X16*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X20*, Definitive Rating Assigned Aa1 (sf) Cl. A-X22*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) * Reflects Interest-Only Classes Moody's are withdrawing the provisional ratings for the Class A-1A Loans assigned on May 28, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.44%, in a baseline scenario-median is 0.21% and reaches 5.91% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PMT LOAN 2026-INV6: Moody's Assigns B3 Rating to Cl. B-5 Certs -------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 74 classes of residential mortgage-backed securities (RMBS) issued by PMT Loan Trust 2026-INV6, and sponsored by PennyMac Corp. The securities are backed by a pool of GSE-eligible residential mortgages aggregated, originated and serviced by PennyMac Corp. The complete rating actions are as follows: Issuer: PMT Loan Trust 2026-INV6 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aaa (sf) Cl. A-14, Definitive Rating Assigned Aaa (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aaa (sf) Cl. A-21, Definitive Rating Assigned Aaa (sf) Cl. A-22, Definitive Rating Assigned Aaa (sf) Cl. A-23, Definitive Rating Assigned Aaa (sf) Cl. A-24, Definitive Rating Assigned Aaa (sf) Cl. A-25, Definitive Rating Assigned Aaa (sf) Cl. A-26, Definitive Rating Assigned Aaa (sf) Cl. A-27, Definitive Rating Assigned Aaa (sf) Cl. A-28, Definitive Rating Assigned Aa1 (sf) Cl. A-29, Definitive Rating Assigned Aa1 (sf) Cl. A-30, Definitive Rating Assigned Aa1 (sf) Cl. A-31, Definitive Rating Assigned Aa1 (sf) Cl. A-32, Definitive Rating Assigned Aa1 (sf) Cl. A-33, Definitive Rating Assigned Aa1 (sf) Cl. A-35, Definitive Rating Assigned Aaa (sf) Cl. A-35X*, Definitive Rating Assigned Aaa (sf) Cl. A-36, Definitive Rating Assigned Aaa (sf) Cl. A-36X*, Definitive Rating Assigned Aaa (sf) Cl. A-37, Definitive Rating Assigned Aaa (sf) Cl. A-37X*, Definitive Rating Assigned Aaa (sf) Cl. A-38, Definitive Rating Assigned Aaa (sf) Cl. A-38X*, Definitive Rating Assigned Aaa (sf) Cl. A-39, Definitive Rating Assigned Aaa (sf) Cl. A-39X*, Definitive Rating Assigned Aaa (sf) Cl. A-40, Definitive Rating Assigned Aaa (sf) Cl. A-40X*, Definitive Rating Assigned Aaa (sf) Cl. A-X1*, Definitive Rating Assigned Aa1 (sf) Cl. A-X2*, Definitive Rating Assigned Aaa (sf) Cl. A-X3*, Definitive Rating Assigned Aaa (sf) Cl. A-X6*, Definitive Rating Assigned Aaa (sf) Cl. A-X7*, Definitive Rating Assigned Aaa (sf) Cl. A-X8*, Definitive Rating Assigned Aaa (sf) Cl. A-X9*, Definitive Rating Assigned Aaa (sf) Cl. A-X11*, Definitive Rating Assigned Aaa (sf) Cl. A-X12*, Definitive Rating Assigned Aaa (sf) Cl. A-X14*, Definitive Rating Assigned Aaa (sf) Cl. A-X15*, Definitive Rating Assigned Aaa (sf) Cl. A-X18*, Definitive Rating Assigned Aaa (sf) Cl. A-X19*, Definitive Rating Assigned Aaa (sf) Cl. A-X21*, Definitive Rating Assigned Aaa (sf) Cl. A-X22*, Definitive Rating Assigned Aaa (sf) Cl. A-X24*, Definitive Rating Assigned Aaa (sf) Cl. A-X25*, Definitive Rating Assigned Aaa (sf) Cl. A-X26*, Definitive Rating Assigned Aaa (sf) Cl. A-X27*, Definitive Rating Assigned Aaa (sf) Cl. A-X30*, Definitive Rating Assigned Aa1 (sf) Cl. A-X31*, Definitive Rating Assigned Aa1 (sf) Cl. A-X32*, Definitive Rating Assigned Aa1 (sf) Cl. A-X33*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A3 (sf) Cl. B-3, Definitive Rating Assigned Baa3 (sf) Cl. B-4, Definitive Rating Assigned Ba3 (sf) Cl. B-5, Definitive Rating Assigned B3 (sf) *Reflects Interest-Only Classes Moody's are withdrawing the provisional rating for the Class A-1A Loans, assigned on June 15, 2026, because the Class A-1A Loans were not funded on the closing date. RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.73%, in a baseline scenario-median is 0.44% and reaches 7.35% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGIES The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. POST CLO VIII: Fitch Assigns 'BB-(EXP)sf' Rating on Class E Notes ----------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to Post CLO VIII Ltd. Entity/Debt Rating ----------- ------ Post CLO VIII Ltd. A-1 LT NR(EXP)sf Expected Rating A-2 LT AAA(EXP)sf Expected Rating B LT AA(EXP)sf Expected Rating C LT A(EXP)sf Expected Rating D-1 LT BBB(EXP)sf Expected Rating D-2 LT BBB-(EXP)sf Expected Rating E LT BB-(EXP)sf Expected Rating Subordinated LT NR(EXP)sf Expected Rating Transaction Summary Post CLO VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Post Advisory Group LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $450 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.51, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.17% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.23% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 10% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-2, between 'BB+sf' and 'A+sf' for class B, between 'B+sf' and 'A-sf' for class C, between less than 'B-sf' and 'BBBsf' for class D-1, and between less than 'B-sf' and 'BBB-sf' for class D-2 and between less than 'B-sf' and 'BB-sf' for class E. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B, 'AAsf' for class C, 'A+sf' for class D-1, and 'A+sf' for class D-2 and 'BBB+sf' for class E. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Post CLO VIII Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. PPM CLO 2018-1: Moody's Cuts Rating on $6.8MM Class F Notes to C ---------------------------------------------------------------- Moody's Ratings has downgraded the ratings on the following notes issued by PPM CLO 2018-1 Ltd.: US$20,400,000 Class E Deferrable Floating Rate Notes due 2031 (the "Class E Notes"), Downgraded to Caa3 (sf); previously on July 10, 2025 Downgraded to B1 (sf) US$6,800,000 Class F Deferrable Floating Rate Notes due 2031 (the "Class F Notes"), Downgraded to C (sf); previously on July 10, 2025 Downgraded to Caa3 (sf) PPM CLO 2018-1 Ltd., originally issued in August 2018 is a managed cashflow CLO. The notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans. The transaction's reinvestment period ended in July 2023. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. RATINGS RATIONALE The rating action reflects the transaction's recent deal performance, analysis of the transaction structure, Moody's updated loss expectations on the underlying pool and Moody's revised loss-given-default expectation. The downgrade actions on the Class E and Class F notes is based on Moody's expectations of the ultimate loss-given-default on the notes. Moody's expectations of loss-given-default assesses losses experienced by, and expected future losses on the notes, as a percentage of the higher of the current balance and the original balance of the security. Following the optional redemption in April 2026, approximately 73% of the principal balance of the Class E notes is expected to be repaid, based on Moody's calculations. The Class F notes did not receive any cashflows following the redemption and Moody's do not expect any material additional recoveries on those notes. Methodology Used for the Rating Action: The principal methodology used in these ratings was "Collateralized Loan Obligations" published in April 2026. Factors that Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the rated notes is subject to uncertainty. The performance of the rated notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The Manager's investment decisions and management of the transaction will also affect the performance of the rated notes. PRKCM 2026-AFC4: S&P Assigns Prelim B (sf) Rating on Cl. B-2 Notes ------------------------------------------------------------------ S&P Global Ratings assigned its preliminary ratings to PRKCM 2026-AFC4 Trust's mortgage-backed notes. The note issuance is an RMBS securitization backed by a pool of first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, townhomes, planned-unit developments, condominiums, and two- to four-family residential properties. The pool consists of 835 loans, comprising qualified mortgage (QM) safe harbor (average prime offer rate), QM/higher priced mortgage loans (rebuttable presumption), non-QM/ability-to-repay (ATR) compliant, and ATR-exempt loans. The preliminary ratings are based on the term sheet dated June 22, 2026. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. The preliminary ratings reflect S&P's view of: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage originator, AmWest Funding Corp.; -- The 100% due diligence (except for property valuation on two second-lien loans) results consistent with represented loan characteristics; and -- S&P said, "Our outlook that considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals. Our outlook is updated, if necessary, when these projections change materially." Preliminary Ratings Assigned(i)(ii) PRKCM 2026-AFC4 Trust Class A-1A, $119,963,000: AAA (sf) Class A-1B, $17,199,000: AAA (sf) Class A-1, $137,162,000: AAA (sf) Class A-1FCF, $102,872,000: AAA (sf) Class A-1LCF, $34,290,000: AAA (sf) Class A-2, $21,327,000: AA (sf) Class A-3, $18,919,000: A+ (sf) Class M-1, $14,447,000: BBB (sf) Class B-1, $7,912,000: BB- (sf) Class B-2, $3,440,000: B (sf) Class B-3, $3,612,084: NR Class A-IO-S, notional(iii): NR Class XS, notional(iii): NR Class R, not applicable: NR (i)The initial note balance of the class A-1A, A-1B, A-1FCF, and A-1LCF notes are subject to change and will be determined at the time of pricing provided that the aggregate initial note amount of the class A-1A, A-1B, A-1FCF, and A-1LCF notes will be equal to $274,324,000 subject to adjustment plus or minus 10%. (ii)The structural information reflects the term sheet dated June 22, 2026. The preliminary ratings address the ultimate payment of interest and principal. (iii)The notional amount is initially $343,981,084 and will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. PROVIDENT FUNDING 2026-2: Moody's Assigns B2 Rating to B-5 Certs ---------------------------------------------------------------- Moody's Ratings has assigned definitive ratings to 38 classes of residential mortgage-backed securities (RMBS) issued by Provident Funding Mortgage Trust 2026-2, and sponsored by Provident Funding Associates, L.P. The securities are backed by a pool of GSE-eligible (100.0% by balance) residential mortgages originated and serviced by Provident Funding Associates, L.P. The complete rating actions are as follows: Issuer: Provident Funding Mortgage Trust 2026-2 Cl. A-1, Definitive Rating Assigned Aaa (sf) Cl. A-2, Definitive Rating Assigned Aaa (sf) Cl. A-3, Definitive Rating Assigned Aaa (sf) Cl. A-4, Definitive Rating Assigned Aaa (sf) Cl. A-5, Definitive Rating Assigned Aaa (sf) Cl. A-6, Definitive Rating Assigned Aaa (sf) Cl. A-7, Definitive Rating Assigned Aaa (sf) Cl. A-8, Definitive Rating Assigned Aaa (sf) Cl. A-9, Definitive Rating Assigned Aaa (sf) Cl. A-10, Definitive Rating Assigned Aaa (sf) Cl. A-11, Definitive Rating Assigned Aaa (sf) Cl. A-12, Definitive Rating Assigned Aaa (sf) Cl. A-13, Definitive Rating Assigned Aa1 (sf) Cl. A-14, Definitive Rating Assigned Aa1 (sf) Cl. A-15, Definitive Rating Assigned Aaa (sf) Cl. A-16, Definitive Rating Assigned Aaa (sf) Cl. A-17, Definitive Rating Assigned Aaa (sf) Cl. A-18, Definitive Rating Assigned Aaa (sf) Cl. A-19, Definitive Rating Assigned Aaa (sf) Cl. A-20, Definitive Rating Assigned Aa1 (sf) Cl. A-X-1*, Definitive Rating Assigned Aaa (sf) Cl. A-X-2*, Definitive Rating Assigned Aaa (sf) Cl. A-X-4*, Definitive Rating Assigned Aaa (sf) Cl. A-X-6*, Definitive Rating Assigned Aaa (sf) Cl. A-X-8*, Definitive Rating Assigned Aaa (sf) Cl. A-X-10*, Definitive Rating Assigned Aaa (sf) Cl. A-X-12*, Definitive Rating Assigned Aaa (sf) Cl. A-X-14*, Definitive Rating Assigned Aa1 (sf) Cl. A-X-16*, Definitive Rating Assigned Aaa (sf) Cl. A-X-17*, Definitive Rating Assigned Aaa (sf) Cl. A-X-18*, Definitive Rating Assigned Aaa (sf) Cl. A-X-19*, Definitive Rating Assigned Aaa (sf) Cl. A-X-20*, Definitive Rating Assigned Aa1 (sf) Cl. B-1, Definitive Rating Assigned Aa3 (sf) Cl. B-2, Definitive Rating Assigned A2 (sf) Cl. B-3, Definitive Rating Assigned Baa2 (sf) Cl. B-4, Definitive Rating Assigned Ba1 (sf) Cl. B-5, Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes RATINGS RATIONALE The ratings are based on the credit quality of the mortgage loans, the structural features of the transaction, the origination quality and the servicing arrangement, the third-party review, and the representations and warranties framework. Moody's expected loss for this pool in a baseline scenario-mean is 0.30%, in a baseline scenario-median is 0.13% and reaches 4.56% at a stress level consistent with Moody's Aaa ratings. PRINCIPAL METHODOLOGY The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's original expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. PRPM 2026-RCF4: Fitch Assigns 'BB-sf' Final Rating on Cl. M2 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to PRPM 2026-RCF4, LLC (PRPM 2026-RCF4). Entity/Debt Rating Prior ----------- ------ ----- PRPM 2026-RCF4 A1 69384HAA1 LT AAAsf New Rating AAA(EXP)sf A2 69384HAB9 LT AA-sf New Rating AA-(EXP)sf A3 69384HAC7 LT A-sf New Rating A-(EXP)sf B 69384HAF0 LT NRsf New Rating NR(EXP)sf M1 69384HAD5 LT BBB-sf New Rating BBB-(EXP)sf M2 69384HAE3 LT BB-sf New Rating BB-(EXP)sf Transaction Summary The notes are supported by 978 loans with a balance of $261.06 million as of the cutoff date. This will be the 14th PRPM RCF transaction to be rated by Fitch and the fourth RCF transaction of 2026. The transactions is expected to close on June 12, 2026. The notes are secured by a pool of recently originated and seasoned, fixed-rate and adjustable-rate, fully amortizing, interest-only performing and reperforming mortgages. These are secured by senior and second liens on generally single-family residential properties, planned unit developments, condominiums, two- to four-family residential properties, multiple properties, manufactured housing, five- to 10-unit multifamily properties, townhouses, land and a condotel. Based on the transaction documents, 74.5% of the pool loans represent collateral with a defect or exception to guidelines that precludes the loans from a government-sponsored enterprise (GSE) pool (scratch and dent). The remaining loans are non-qualified mortgage (QM; 13.3%), performing or reperforming loans (RPLs) (10.7%) and individual taxpayer identification number (ITIN) loans (1.4%). The loans were originated by various originators, with no originator contributing more than 10% to the pool. SN Servicing Corp., rated 'RSS3' by Fitch, will service 53.4% of the loans; Fay Servicing, rated 'RSS2' by Fitch, will service 28.9%; Rocket Mortgage, d/b/a Rushmore Servicing and rated 'RSS2', will service 8.9%; and Newrez LLC, d/b/a Shellpoint Mortgage Servicing and rated 'RSS2+' by Fitch, will service 8.8%. A majority of the loans adhere to QM rules or are exempt from the rules. Only 13.3% are non-QM loans. Fitch did not adjust the QM status in its analysis under its revised "U.S. RMBS Rating Criteria." The offered A and M notes are fixed rate and capped at available funds. The B note is a principal-only (PO) bond and is not entitled to interest. Similar to non-QM transactions, classes A and M have a step-up coupon feature that is triggered if the deal is not called in June 2030. Fitch was only asked to rate class A-1, A-2, A-3, M-1 and M-2 notes. KEY RATING DRIVERS Credit Risk of Nonprime Credit Quality Mortgage Assets (Negative): RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. The borrowers in this pool have relatively strong credit profiles with a weighted average (WA) original FICO score of 740, current WA FICO of 717 and a Fitch-determined debt-to-income ratio (DTI) of 41.4%. The borrowers also have moderate leverage, with an original combined loan-to-value ratio (cLTV), as determined by Fitch, of 82.0% (81.6% is the cLTV in the transaction documents), translating to a Fitch-calculated sustainable loan-to-value ratio of 78.0%. Of the loans in the pool, 74.5% are considered S&D, 10.7% are RPLs or seasoned performing, 1.5% are ITIN loans and 13.3% are seasoned non-QM loans. A majority of the loans are fully documented, but roughly 28% are less than full documentation (bank statement, debt service coverage ratio or other). PRPM 2026-RCF4 has a final probability of default of 44.10% in the 'AAAsf' rating stress. Fitch's final loss severity (LS) in the 'AAAsf' rating stress is 53.13%. The expected loss in the 'AAAsf' rating stress is 23.44%. Structural Analysis (Mixed): The transaction utilizes a sequential-payment structure with no advancing of delinquent (DQ) principal or interest. There is overcollateralization (OC) and subordination to protect the rated classed from losses should they occur. The transaction also includes a structural feature where it reallocates interest from the more junior classes to pay principal on the more senior classes on or after the occurrence of a credit event. The amount of interest paid out as principal to the more senior classes is added to the balance of the affected junior classes. This feature allows for a faster paydown of the senior classes. An offset to the positive feature of the sequential structure is that the transaction will not write down the bonds due to potential losses or undercollateralization. In periods of adverse performance, the subordinate bonds will continue to be paid interest at the expense of principal payments that otherwise would support the more senior bonds. In a more traditional structure, the subordinate bonds would be written down and accrue a smaller amount of interest. The potential for increasing amounts of undercollateralization is partially mitigated by reallocation of available funds after a credit event. The servicers will not be advancing DQ monthly payments of principal and interest (P&I). As P&I advances made on behalf of loans that become DQ and eventually liquidate reduce liquidation proceeds to the trust, the loan-level LS is less in this transaction than for those where the servicer is obligated to advance P&I. To provide liquidity and ensure that timely interest will be paid to the 'AAAsf' rated classes and that ultimate interest will be paid on the remaining rated classes, principal will need to be used to pay for interest accrued on DQ loans. This will result in stress on the structure and the need for additional credit enhancement compared to a pool with limited advancing. In this structure, interest payments and fees are paid from the interest waterfall prior to the occurrence of a credit event. The principal waterfall will pay any current and unpaid accrued interest amounts to the classes prior to principal being paid sequentially, starting with the A-1 class prior to the occurrence of a credit event. On and after the occurrence of a credit event, fees will be paid out of available funds; after the fees are paid, interest and principal will be paid out of available funds with interest still being prioritized in the structure over the payment of principal. Coupons on the notes are based on the lower of the available funds cap (AFC) and the stated coupon. If the AFC is paid, it is considered a coupon cap shortfall (interest shortfall), and the coupon cap shortfall amount is the difference between interest that was paid (per the AFC) and what should have been paid based on the stated coupon. If the transaction is not called on the expected redemption date (June 2030), the coupons step up 100 bps. Class B and the certificate class will be issued as PO bonds and will not accrue interest. The transaction has OC, which will provide subordination and protect the classes from losses. This is in addition to subordination provided by the structure. Classes will not be written down by realized losses and, as a result, the transaction will become undercollateralized if the OC is depleted. Operational Risk Analysis (Negative): Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100% of the loans in the transaction by loan count. For S&D transactions, credit is not given to loans with a due diligence grade of A or B since these loans have a material defect. The loans are penalized for having C and D grades. Counterparty and Legal Analysis (Neutral): Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects PRPM 2026-RCF4 to be fully de-linked and a bankruptcy-remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis (Neutral): Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to PRPM 2026-RCF4 and, therefore, Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined negative rating sensitivity analysis demonstrates how ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0%, in addition to the model-projected 10.7%, at base case. The analysis indicates some potential rating migration, with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated classes excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up environments and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. They should not be used as indicators of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) by the following TPR firms, ProTitle, Consolidated Analytics, Canopy, Covius, Clayton, Infinity, SitusAMC and Selene. Each of these TPR firms are assessed as an acceptable TPR firm by Fitch. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, servicing comment review, and title/lien review as applicable to each TPR's scope of review. A title/lien review was conducted on the seasoned loans in the pool. Fitch also received servicer confirmations that the lien status and payment history in the loan tape were accurate per their records. U.S. Bank National Association and Computershare conducted the custodial reviews. Fitch incorporated the due diligence results into its analysis. Based on 100% due diligence coverage of the pool, Fitch raised loss expectations on loans with grades of C or D that had material findings. These material findings consisted of missing HUD-1s, ability-to-repay risk loans, loans with environmental hazard exposure on the property, loans with material repairs needed, loans with state regulation violations in New York, Georgia or Texas that also had other compliance findings or were noted to be high cost loans or Texas cash-out loans, underwriting defects involving documentation issues, and underwriting defects involving occupancy issues. Fitch increased the loss severity and/or probability of default on these loans to address these findings. Fitch considered this information in its analysis and, as a result, the losses increased. DATA ADEQUACY Fitch relied on an independent third-party due diligence review performed on 100% of the loans. The third-party due diligence was consistent with Fitch's "U.S. RMBS Rating Criteria." The sponsor engaged ProTitle, Consolidated Analytics, Canopy, Covius, Clayton, Infinity, SitusAMC and Selene to perform various reviews. These reviews consisted of regulatory compliance, credit, valuation, data integrity, payment history, servicing comment review, and title/lien review as applicable to each TPR. The third-party due diligence described in these Form 15Es focused on regulatory compliance, credit, valuation, data integrity, payment history, servicing comment review, and title/lien review as applicable to each TPR's scope of review. Loans were assigned initial and final compliance grades (100% of the pool) under the review scope. The sponsor also engaged TPRs to conduct a title review/lien search. U.S. Bank National Association and Computershare conducted the custodial reviews. The servicers confirmed the lien position for each loan and that the payment history provided in the loan tape was accurate. Fitch also received notes on exceptions based on the post-close quality control (QC) performed by the GSEs the S&D portion of the pool. The GSE post-close QC consisted of a review of compliance, credit, and valuations. Fitch considers the scope of the GSE's credit and valuation post-close QC consistent with rating agency standards. As a result, Fitch used the GSE's post-close credit and valuation QC for the non-seasoned loans in the pool since the scope is consistent with Fitch's criteria. Fitch took these notes from the GSE post-close QC into account during its analysis of the transaction. Seasoned loans do not require a credit/valuation TPR review, per Fitch's criteria. Fitch viewed this as acceptable given the loan level R&Ws in the transaction, the conservative assumptions Fitch used in its loss analysis, and because compliance due diligence was performed on the loans. Using a sample of loans is acceptable for due diligence review, per Fitch's criteria. TPR also performed a review of the payment history, a servicer comment review, and a title/lien review, all of which are consistent with Fitch's criteria. An exception and waiver report was provided to Fitch, indicating that the pool of reviewed loans has a number of exceptions and waivers. Fitch determined that some of the exceptions and waivers do materially affect the overall credit risk of the loans, and it increased its loss expectations on these loans to account for the issues found in the due diligence process on the loans that are considered to have material findings. For the remaining loans, Fitch did not consider the exceptions (if any) to be material due to the presence of compensating factors, such as having liquid reserves, a FICO above guideline requirements or LTVs or DTIs below guideline requirements. Therefore, no adjustments were needed to compensate for these occurrences on the non-scratch and dent loans. Fitch also utilized data files that were made available by the issuer on its SEC Rule 17g-5 designated website. The loan-level information Fitch received was provided in the American Securitization Forum's (ASF) data layout format. The ASF data tape layout was established with input from various industry participants, including rating agencies, issuers, originators, investors and others, to produce an industry standard for the pool-level data in support of the U.S. RMBS securitization market. The data contained in the data tape layout were populated by the due diligence company and no material discrepancies were noted. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RATE MORTGAGE 2026-J2: Fitch Assigns 'Bsf' Rating on Cl. B-5 Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the residential mortgage-backed notes issued by RATE Mortgage Trust 2026-J2 (RATE 2026-J2): Entity/Debt Rating Prior ----------- ------ ----- RATE 2026-J2 A-1 LT AAAsf New Rating AAA(EXP)sf A-2 LT AAAsf New Rating AAA(EXP)sf A-3 LT AAAsf New Rating AAA(EXP)sf A-4 LT AAAsf New Rating AAA(EXP)sf A-5 LT AAAsf New Rating AAA(EXP)sf A-6 LT AAAsf New Rating AAA(EXP)sf A-7 LT AAAsf New Rating AAA(EXP)sf A-8 LT AAAsf New Rating AAA(EXP)sf A-9 LT AAAsf New Rating AAA(EXP)sf A-10 LT AAAsf New Rating AAA(EXP)sf A-11 LT AAAsf New Rating AAA(EXP)sf A-12 LT AAAsf New Rating AAA(EXP)sf A-13 LT AAAsf New Rating AAA(EXP)sf A-14 LT AAAsf New Rating AAA(EXP)sf A-15 LT AAAsf New Rating AAA(EXP)sf A-16 LT AAAsf New Rating AAA(EXP)sf A-17 LT AAAsf New Rating AAA(EXP)sf A-18 LT AAAsf New Rating AAA(EXP)sf A-19 LT AAAsf New Rating AAA(EXP)sf A-20 LT AAAsf New Rating AAA(EXP)sf A-21 LT AAAsf New Rating AAA(EXP)sf A-22 LT AAAsf New Rating AAA(EXP)sf A-23 LT AAAsf New Rating AAA(EXP)sf A-24 LT AAAsf New Rating AAA(EXP)sf A-25 LT AAAsf New Rating AAA(EXP)sf A-26 LT AAAsf New Rating AAA(EXP)sf A-27 LT AAAsf New Rating AAA(EXP)sf A-29 LT AAAsf New Rating AAA(EXP)sf A-30 LT AAAsf New Rating AAA(EXP)sf A-X-1 LT AAAsf New Rating AAA(EXP)sf A-X-2 LT AAAsf New Rating AAA(EXP)sf A-X-3 LT AAAsf New Rating AAA(EXP)sf A-X-4 LT AAAsf New Rating AAA(EXP)sf A-X-5 LT AAAsf New Rating AAA(EXP)sf A-X-6 LT AAAsf New Rating AAA(EXP)sf A-X-7 LT AAAsf New Rating AAA(EXP)sf A-X-8 LT AAAsf New Rating AAA(EXP)sf A-X-9 LT AAAsf New Rating AAA(EXP)sf A-X-10 LT AAAsf New Rating AAA(EXP)sf A-X-11 LT AAAsf New Rating AAA(EXP)sf A-X-12 LT AAAsf New Rating AAA(EXP)sf A-X-13 LT AAAsf New Rating AAA(EXP)sf A-X-14 LT AAAsf New Rating AAA(EXP)sf A-X-15 LT AAAsf New Rating AAA(EXP)sf A-X-16 LT AAAsf New Rating AAA(EXP)sf A-X-17 LT AAAsf New Rating AAA(EXP)sf A-X-18 LT AAAsf New Rating AAA(EXP)sf A-X-19 LT AAAsf New Rating AAA(EXP)sf A-X-20 LT AAAsf New Rating AAA(EXP)sf A-X-21 LT AAAsf New Rating AAA(EXP)sf A-X-22 LT AAAsf New Rating AAA(EXP)sf A-X-23 LT AAAsf New Rating AAA(EXP)sf A-X-24 LT AAAsf New Rating AAA(EXP)sf A-X-25 LT AAAsf New Rating AAA(EXP)sf A-X-26 LT AAAsf New Rating AAA(EXP)sf A-X-27 LT AAAsf New Rating AAA(EXP)sf A-X-28 LT AAAsf New Rating AAA(EXP)sf A-X-29 LT AAAsf New Rating AAA(EXP)sf A-X-30 LT AAAsf New Rating AAA(EXP)sf B-1 LT AAsf New Rating AA(EXP)sf B-1A LT AAsf New Rating AA(EXP)sf B-X-1 LT AAsf New Rating AA(EXP)sf B-2 LT Asf New Rating A(EXP)sf B-2A LT Asf New Rating A(EXP)sf B-X-2 LT Asf New Rating A(EXP)sf B-3 LT BBBsf New Rating BBB(EXP)sf B-4 LT BBsf New Rating BB(EXP)sf B-5 LT Bsf New Rating B(EXP)sf B-6 LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf A-X-S LT NRsf New Rating NR(EXP)sf A-1L LT WDsf Withdrawn AAA(EXP)sf A-3L LT WDsf Withdrawn AAA(EXP)sf A-2L LT WDsf Withdrawn AAA(EXP)sf Transaction Summary The notes are supported by 290 loans with a total balance of approximately $360.3 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages originated by Guaranteed Rate, Inc. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure. The issuer has withdrawn classes A-1L, A-2L and A-3L as they are not being funded at close and will not be funded at any point in the future. Therefore, Fitch has withdrawn the ratings for those classes, all of which had expected ratings of 'AAA(EXP)sf' with a Stable Outlook. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RATE 2026-J2 has a final probability of default of 6.54% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 34.43%. The expected loss in the 'AAAsf' rating stress is 2.25%. Structural Analysis: The mortgage cash flow and loss allocation in RATE 2026-J2 are based on a senior-subordinate, shifting-interest structure, whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. The transaction incorporates a structural feature for loans more than 120 days delinquent (a stop-advance loan). Unpaid interest on stop-advance loans reduces the amount of interest that is contractually due to bondholders in reverse-sequential order. This feature can result in interest reductions to rated bonds in high-stress delinquency scenarios. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch applies a 5-bps z-score reduction for loans fully reviewed by a third-party review firm which have a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch confirms all relevant transaction parties conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements have been satisfied to fully de-link the transaction from any other entities. Fitch confirms RATE 2026-J2 is fully de-linked and a bankruptcy remote special purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to RATE 2026-J2 and, therefore, Fitch is comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 37.8% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes, compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those assigned 'AAAsf' ratings. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation review. Fitch considered this information in its analysis and, as a result, Fitch made the following adjustment to its analysis: a 5% credit at the loan level for each loan where satisfactory due diligence was completed. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. RCKT MORTGAGE 2026-CES6: Fitch Assigns Bsf Rating on Five Tranches ------------------------------------------------------------------ Fitch Ratings has assigned final ratings to the mortgage-backed notes issued by RCKT Mortgage Trust 2026-CES6 (RCKT 2026-CES6). Entity/Debt Rating Prior ----------- ------ ----- RCKT 2026-CES6 A1 LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A2 LT AAsf New Rating AA(EXP)sf A3 LT Asf New Rating A(EXP)sf A4 LT AAsf New Rating AA(EXP)sf A5 LT Asf New Rating A(EXP)sf A6 LT BBBsf New Rating BBB(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B1A LT BBsf New Rating BB(EXP)sf B1B LT BBsf New Rating BB(EXP)sf B2 LT Bsf New Rating B(EXP)sf B2A LT Bsf New Rating B(EXP)sf B2B LT Bsf New Rating B(EXP)sf B3 LT NRsf New Rating NR(EXP)sf BX1A LT BBsf New Rating BB(EXP)sf BX1B LT BBsf New Rating BB(EXP)sf BX2A LT Bsf New Rating B(EXP)sf BX2B LT Bsf New Rating B(EXP)sf M1 LT BBBsf New Rating BBB(EXP)sf XS LT NRsf New Rating NR(EXP)sf A1L LT WDsf Withdrawn AAA(EXP)sf Transaction Summary The notes are supported by 7,518 closed-end second lien (CES) loans with a total balance of approximately $706 million as of the cutoff date. The pool consists of CES mortgages acquired by Woodward Capital Management LLC from Rocket Mortgage, LLC. Distributions of principal and interest and loss allocations are based on a traditional senior-subordinate, sequential structure in which excess cash flow can be used to repay losses or cover net weighted average coupon (WAC) shortfalls. Fitch has withdrawn the expected rating of 'AAA(EXP)sf' for the class A-1L loans as they were not funded at closing and are no longer being offered. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. RCKT 2026-CES6 has a final probability of default (PD) of 18.3% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 98.3%. The expected loss in the 'AAAsf' rating stress is 17.9%. Structural Analysis: The mortgage cash flow and loss allocation in RCKT 2026-CES6 are based on a sequential-payment structure where principal is used to pay down the bonds sequentially and losses are allocated reverse sequentially. Monthly excess cash flow, derived after the allocation of interest and principal payments, can be used as principal — first, to repay any current or previously allocated cumulative applied realized losses, and then to repay potential net WAC shortfalls. The senior classes incorporate a step-up coupon of 1.00% (to the extent still outstanding) after the 48th payment date. Fitch analyzes the capital structure to determine the adequacy of the transaction's credit enhancement (CE) to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings was sufficient for the given rating levels. The CE for a given rating exceeded the expected losses of that rating stress to address the structure's recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 17.6% of the loans in the transaction by loan count. Fitch applies a 5% probability of default reduction for loans fully reviewed by a third-party review firm which have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects RCKT 2026-CES6 to be fully de-linked and a bankruptcy-remote special-purpose vehicle. All transaction parties and triggers align with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to RCKT 2026-CES6 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper market value declines (MVDs) at the national level. The analysis assumes MVDs of 10.0%, 20.0% and 30.0% in addition to the model projected 38.1% at 'AAA'. The analysis indicates that there is some potential rating migration with higher MVDs for all rated classes compared with the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade The defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class excluding those being assigned ratings of 'AAAsf'. This section provides insight into the model-implied sensitivities the transaction faces when one assumption is modified, while holding others equal. The modeling process uses the modification of these variables to reflect asset performance in up and down environments. The results should only be considered as one potential outcome, as the transaction is exposed to multiple dynamic risk factors. It should not be used as an indicator of possible future performance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch received Form ABS Due Diligence-15E (Form 15E), prepared by SitusAMC. The third-party due diligence described in Form 15E covered credit, compliance, and property valuation reviews. Fitch considered the results of this review in its analysis and, accordingly, applied an approximately 5% origination PD credit to loans that were fully reviewed by the third-party review firm and assigned a final grade of A or B. Third-party due diligence was performed on 17.6% of the transaction's loans by loan count and all reviewed loans received a grade of A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. REALT 2026-RONA2: Moody's Assigns (P)Ba1 Rating to Cl. E Certs -------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to six classes of CMBS securities, to be issued by Real Estate Asset Liquidity Trust (REALT), Commercial Mortgage Pass-Through Certificates, Series 2026-RONA2: Cl. A, Assigned (P)Aaa (sf) Cl. B, Assigned (P)Aa2 (sf) Cl. C, Assigned (P)A2 (sf) Cl. D, Assigned (P)Baa2 (sf) Cl. E, Assigned (P)Ba1 (sf) Cl. X*, Assigned (P)Aaa (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The certificates are collateralized by a single loan backed by a first lien mortgage on the borrower's fee simple interests in 44 retail centers and one distribution center located across multiple provinces of Canada. Moody's ratings are based on the credit quality of the loans and the strength of the securitization structure. The collateral improvements were built at various points between 1960 and 2011, with a weighted average year built by ALA of 1997. All properties are leased to RONA pursuant to a unitary master lease that is scheduled to expire in approximately 10 years, or five years past the loan's maturity date. There are two 5-year renewal options and does not include any termination options. Rent payments are structured on an absolute triple net basis with rent escalations of 2.75% per annum. The Portfolio's properties are operated under the following banners: -- 30 stores are small format stores operated under RONA, -- 11 stores are big box format stores operated under RONA+, -- 3 stores are retail lumber yards operated under Dick's, -- 1 property is a distribution center for Dick's lumber. Moody's approach to rating this transaction involved the application of both Moody's Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations methodology and Moody's IO Rating methodology. The rating approach for securities backed by a single loan compares the credit risk inherent in the underlying collateral with the credit protection offered by the structure. The structure's credit enhancement is quantified by the maximum deterioration in property value that the securities are able to withstand under various stress scenarios without causing an increase in the expected loss for various rating levels. In assigning single borrower ratings, Moody's also considers a range of qualitative issues as well as the transaction's structural and legal aspects. The credit risk of loans is determined primarily by two factors: 1) Moody's assessments of the probability of default, which is largely driven by each loan's DSCR, and 2) Moody's assessments of the severity of loss upon a default, which is largely driven by each loan's loan-to-value ratio, referred to as the Moody's LTV or MLTV. As described in the CMBS methodology used to rate this transaction, Moody's makes various adjustments to the MLTV. Moody's adjust the MLTV for each loan using a value that reflects capitalization (cap) rates that are between Moody's sustainable cap rates and market cap rates. Moody's also uses an adjusted loan balance that reflects each loan's amortization profile. The Moody's first mortgage actual DSCR is 1.06X and Moody's first mortgage actual stressed DSCR is 1.10X. Moody's DSCR is based on Moody's stabilized net cash flow. The fully funded whole loan first mortgage balance of $326,000,000 CAD represents a Moody's LTV ratio of 93.4% based on Moody's value. Adjusted Moody's LTV ratio for the first mortgage balance is 93.4% based on Moody's Value using a cap rate adjusted for the current interest rate environment. Moody's also grade properties on a scale of 0 to 5 (best to worst) and consider those grades when assessing the likelihood of debt payment. The factors considered include property age, quality of construction, location, market, and tenancy. The property's overall quality grade is 1.75. Notable strengths of the transaction include: occupancy profile, geographic diversification, Canada's creditor friendly legal environment, and multiple property pooling. Notable concerns of the transaction include: single tenant concentration, tenant volatile historical financials amid past M&A and corporate strategic transition, age, and credit negative legal features. The principal methodology used in rating all classes except interest-only classes was "Large Loan and Single Asset/Single Borrower Commercial Mortgage-backed Securitizations" published in May 2026. Moody's approach for single borrower and large loan multi-borrower transactions evaluates credit enhancement levels based on an aggregation of adjusted loan level proceeds derived from Moody's loan level LTV ratios. Major adjustments to determining proceeds include leverage, loan structure, and property type. These aggregated proceeds are then further adjusted for any pooling benefits associated with loan level diversity, other concentrations and correlations. Moody's analysis considers the following inputs to calculate the proposed IO rating based on the published methodology: original and current bond ratings and credit estimates; original and current bond balances grossed up for losses for all bonds the IO(s) reference(s) within the transaction; and IO type corresponding to an IO type as defined in the published methodology. Factors that would lead to an upgrade or downgrade of the ratings: The performance expectations for a given variable indicate Moody's forward-looking view of the likely range of performance over the medium term. Performance that falls outside the given range may indicate that the collateral's credit quality is stronger or weaker than Moody's had previously anticipated. Factors that may cause an upgrade of the ratings include significant loan pay downs or amortization, an increase in the pool's share of defeasance or overall improved pool performance. Factors that may cause a downgrade of the ratings include a decline in the overall performance of the pool, loan concentration, increased expected losses from specially serviced and troubled loans or interest shortfalls. With respect to classes with ratings above the applicable sovereign rating, significant exposure to defeasance may also lead to a downgrade. REGATTA XXVII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes -------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta XXVII Funding Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Regatta XXVII Funding Ltd. A-1-R LT NRsf New Rating A-2 758970AC1 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 758970AE7 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 758970AG2 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D 758970AJ6 LT PIFsf Paid In Full BBB-sf D-1-R LT BBB+sf New Rating D-2-R LT BBB-sf New Rating E 758973AA9 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating Transaction Summary Regatta XXVII Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) Reset that will be managed by Napier Park Global Capital (US) LP. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.62, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.08% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.09% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 40% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'A-sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1-R, and between less than 'B-sf' and 'BB+sf' for class D-2-R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AAsf' for class C-R, 'A+sf' for class D-1-R, and 'A-sf' for class D-2-R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Regatta XXVII Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. REGATTA XXVIII: Fitch Assigns 'BB-sf' Rating on Class E-R Notes --------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Regatta XXVIII Funding Ltd. Entity/Debt Rating Prior ----------- ------ ----- Regatta XXVIII Funding Ltd. A-1R LT NRsf New Rating A-2 75901PAC0 LT PIFsf Paid In Full AAAsf A-2R LT AAAsf New Rating B-1 75901PAE6 LT PIFsf Paid In Full AA+sf B-2 75901PAL0 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 75901PAG1 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 75901PAJ5 LT PIFsf Paid In Full BBB-sf D-1R LT BBB-sf New Rating D-2 75901PAN6 LT PIFsf Paid In Full BBB-sf D-2R LT BBB-sf New Rating E 75901QAA2 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating X LT NRsf New Rating Transaction Summary Regatta XXVIII Funding Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Napier Park Global Capital (US) LP. This transaction constitutes a reset, whereby the net proceeds from the issuance of the new secured and subordinated notes will be applied to redeem in full the outstanding secured and subordinated notes KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.68 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 97.3% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.18% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 41% of the portfolio balance in aggregate while the top five obligors can represent up to 4.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than 6 years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'Asf' and 'AA+sf' for class A-2R, between 'BBBsf' and 'A+sf' for class B-R, between 'BB-sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB+sf' for class D-1R, and between less than 'B-sf' and 'BB+sf' for class D-2R and between less than 'B-sf' and 'B+sf' for class E-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-2R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, 'A+sf' for class D-1R, and 'BBB+sf' for class D-2R and 'BBB+sf' for class E-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Regatta XXVIII Funding Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. RR 16: Fitch Assigns BB-sf Rating on Cl. D-R2 Notes, Outlook Stable ------------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to RR 16 LTD Reset transaction. Entity/Debt Rating ----------- ------ RR 16 LTD X-R2 LT AAAsf New Rating A-1A-R2 LT AAAsf New Rating A-1B-R2 LT AAAsf New Rating A-2-R2 LT AAsf New Rating B-R2 LT Asf New Rating C-1-R2 LT BBBsf New Rating C-2-R2 LT BBB-sf New Rating D-R2 LT BB-sf New Rating Subordinated LT NRsf New Rating Transaction Summary RR 16 Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.29, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.32% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.46% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 44.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R2, between 'A-sf' and 'AA+sf' for class A-1A-R2, between 'BBB+sf' and 'AA+sf' for class A-1B-R2, between 'BB+sf' and 'A+sf' for class A-2-R2, between 'B+sf' and 'A-sf' for class B-R2, between less than 'B-sf' and 'BBBsf' for class C-1-R2, and between less than 'B-sf' and 'BBB-sf' for class C-2-R2 and between less than 'B-sf' and 'BB-sf' for class D-R2. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R2, class A-1A-R2 and class A-1B-R2 notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2-R2, 'AAsf' for class B-R2, 'A+sf' for class C-1-R2, and 'A+sf' for class C-2-R2 and 'BBB+sf' for class D-R2. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for RR 16 LTD. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. RR 45: Fitch Assigns 'BB-sf' Rating on Cl. D Notes, Outlook Stable ------------------------------------------------------------------ Fitch Ratings has assigned ratings and Rating Outlooks to RR 45 LTD. Entity/Debt Rating ----------- ------ RR 45 Ltd. A-1a LT NRsf New Rating A-1b LT AAAsf New Rating A-2 LT AAsf New Rating B-1 LT Asf New Rating B-2 LT Asf New Rating C-1 LT BBB-sf New Rating C-2 LT BBB-sf New Rating D LT BB-sf New Rating Transaction Summary RR 45 LTD (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Redding Ridge Asset Management LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $500 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 23.55, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 98.75% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.28% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 42% of the portfolio balance in aggregate while the top five obligors can represent up to 12.50% of the portfolio balance in aggregate at the initial example matrix point. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio is reduced by up to 12 months for the WAL covenants that are greater than 6 years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as between 'BBB+sf' and 'AA+sf' for class A-1b, between 'BB+sf' and 'A+sf' for class A-2, between 'B+sf' and 'BBB+sf' for class B, between less than 'B-sf' and 'BBB-sf' for class C-1, and between less than 'B-sf' and 'BB+sf' for class C-2 and between less than 'B-sf' and 'B+sf' for class D. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1b notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class A-2, 'AAsf' for class B, 'A+sf' for class C-1, and 'A+sf' for class C-2 and 'BBB+sf' for class D. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for RR 45, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, program, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. SANTANDER BANK 2026-A: Fitch Assigns 'Bsf' Rating on Class F Notes ------------------------------------------------------------------ Fitch Ratings has assigned final ratings and Rating Outlooks to the notes issued by Santander Bank Auto Credit-Linked Notes, Series 2026-A (SBCLN 2026-A). Entity/Debt Rating Prior ----------- ------ ----- Santander Bank Auto Credit-Linked Notes, Series 2026-A A-1-R LT NRsf New Rating NR(EXP)sf A-2 LT NRsf New Rating NR(EXP)sf B LT NRsf New Rating NR(EXP)sf C LT Asf New Rating A(EXP)sf D LT BBBsf New Rating BBB(EXP)sf E LT BB-sf New Rating BB-(EXP)sf F LT Bsf New Rating B(EXP)sf G LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf KEY RATING DRIVERS Ratings Constrained by SBNA Rating: Interest payments due on the rated notes are made by Santander Bank N.A. (SBNA; A/Stable). At the same time, SBNA makes all principal payments due on these notes, which replicate principal receipts on the reference asset pool, and are subject to the conditions of the hypothetical guarantee and the transaction's priority of payments. Principal payments on class C notes and all notes more senior than class C are secured by the funds standing to the credit of a collateral account held with the transaction account bank. The required balance of the collateral account, as of any determination date, is equal to the aggregate outstanding class principal amount of the collateralized notes at that time. SBNA is required to cure any shortfall in the collateral account relative to its required balance. Classes D through G (the uncollateralized notes) do not benefit from the funds credited to the collateral account and remain solely obligations of SBNA. As a consequence, the rating of the class C and the uncollateralized notes is the lower of i) the maximum rating achievable based on the quality of the reference asset pool and available credit enhancement (CE) available through the subordination of payments on more junior tranches to payments on more senior tranches; and ii) SBNA's Long-Term Issuer Default Rating (IDR) of 'A' and Short Term IDR of'F1'. Collateral Performance — Prime Credit Quality: SBCLN 2026-A is the 10th SBCLN auto transaction from SBNA and the collateral reflects prime credit quality with a weighted-average (WA) FICO score of 791. FICO scores below or equal to 700 total only 13.3% of the pool and 53.0% are above 800. The concentration of extended-term loans (>60 months) totals 86.8% of the pool, with 84-month term loans at 2.6%. WA loan-to-value is 90.9%. Seasoning for the pool is six months, which is comparable to recent SBCLN transactions. Vehicle type concentrations are in line with comparable prime transactions. The 2026-A pool has a high concentration of approximately 69.3% Tesla vehicles, but the Tesla portion has generally higher credit quality than the overall pool. This is the highest Tesla concentration observed in the SBCLN shelf, followed by the 2024-B and 2024-A transactions (50.4% and 44.7%, respectively). Forward-Looking Approach to Derive Rating Case Proxy - Delinquencies Up, Losses Largely Contained: Fitch considered economic conditions and future expectations by assessing key macroeconomic and wholesale market conditions when deriving the series loss proxy. Fitch used the 2007-2009 and 2022-2024 vintage ranges to derive the loss proxy for SBCLN 2026-A, representing through-the-cycle performance. While performance has deteriorated for 2022 and 2023 originations, increases in delinquencies have not fully rolled into losses. 2024 vintages improved substantially, but early 2025 vintages have weakened. Fitch's rating case cumulative net loss (CNL) proxy for SBCLN 2026-A is 1.75%. Payment Structure - Adequate CE, Modified Pro Rata: Initial CE totals 12.00%, 7.40%, 6.70%, 5.65%, 3.85%, and 2.45% for classes A-2, B, C, D, E, and F, respectively. Because of the synthetic nature of the transaction, with SBNA covering interest payments on the notes, the transaction has no excess spread. Loss coverage for each class of notes is sufficient to cover the respective multiples of Fitch's rating case CNL proxy of 1.75%. Cash flows are allocated in a modified pro rata priority. Class A-1-R and A-2 receive principal pro rata. The subordinate notes B-G are locked out of principal payments for the first eight months, after which they receive principal payments pro rata. Additionally, loss triggers support the more senior notes in the event of performance deterioration. The first-level loss trigger revises the priority of payments to sequential pay for subordinate notes, and the second-level loss trigger locks subordinate notes out of principal until class A is paid down. Counterparty Risk: Fitch's current Long-Term IDRs of SBNA and Santander Holdings USA, Inc., are 'A'/Stable and 'A-'/Stable, respectively. Fitch views SBNA's underwriting practices as market aligned and deems the entity an adequate originator and servicer. This is evidenced by the historical performance of its managed portfolio and prior securitizations. While the reference asset pool is not transferred to SBCLN 2026-A, it is serviced by SBNA in accordance with its customary servicing practices as these can still influence collections and recoveries on the reference asset pool and subsequently replicated in the transaction. The transaction is also supported by a letter of credit from Banco Santander, S.A. covering five months of interest payments on the collateralized notes. Fitch's base case loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 1.35%, based on Fitch's "Global Economic Outlook - June 2026" and forecast projections. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce CNL levels higher than the rating case, and would likely result in declines of CE and remaining net loss coverage levels available to the notes. In addition, unanticipated declines in recoveries could also result in lower net loss coverage, which may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in coverage. Therefore, Fitch conducts sensitivity analyses by stressing both a transaction's initial rating case CNL and recovery rate assumptions, as well as by examining the rating implications on all classes of issued notes. The CNL sensitivity stresses the CNL proxy to the level necessary to reduce each rating by one full category, to non-investment grade 'BBsf' and to 'CCCsf', based on the break-even loss coverage provided by the CE structure. Fitch also conducts 1.5x and 2.0x increases to the CNL proxy, representing both moderate and severe stresses. Fitch also evaluates the effect of stressed recovery rates on an auto loan ABS structure and rating impact with a 50% haircut. These analyses are intended to provide an indication of the rating sensitivity of the notes to unexpected deterioration of a trust's performance. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance driven by stable delinquencies and defaults would lead to rising CE levels and consideration for potential upgrades. If CNL is 20% less than the projected proxy, the expected ratings for the subordinate notes could be upgraded by one category, though only up to the rating of SBNA. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The concentration of electric vehicles in the pool of approximately 69.7%, including 69.3% Tesla battery electric vehicles, did not have an impact on Fitch's rating analysis or conclusions for this transaction; therefore, it has no impact on Fitch's ESG Relevance Score. The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SANTANDER BANK 2026-A: Moody's Assigns (P)B3 Rating to Cl. F Notes ------------------------------------------------------------------ Moody's Ratings has assigned provisional ratings to the Santander Bank Auto Credit-Linked Notes, Series 2026-A (SBCLN 2026-A) notes to be issued by Santander Bank, N.A. (SBNA). SBCLN 2026-A is the first credit linked notes transaction issued by SBNA in 2026 to transfer credit risk to noteholders through a hypothetical tranched financial guaranty on a reference pool of auto loans. The complete rating actions are as follows: Issuer: Santander Bank Auto Credit-Linked Notes, Series 2026-A Class A-2 Notes, Assigned (P)Aaa (sf) Class B Notes, Assigned (P)Aa3 (sf) Class C Notes, Assigned (P)A3 (sf) Class D Notes, Assigned (P)Baa2 (sf) Class E Notes, Assigned (P)Ba3 (sf) Class F Notes, Assigned (P)B3 (sf) RATINGS RATIONALE The Class A-2, Class B and Class C notes (the collateralized notes) are fixed-rate obligations secured by a cash collateral account. Principal payments to these notes will be made from proceeds in the cash collateral account held with a third-party eligible institution rated at least A2 or P-1 by us. SBNA will solely be responsible for interest payments, and if the amount on deposit in the cash collateral account is less than the outstanding principal amount of the collateralized notes due to certain unlikely events, also for the payments of principal. The collateralized notes also benefit from a letter of credit (LOC), which can cover up to five months of interest payments if SBNA fails to pay or enters FDIC conservatorship or receivership. This LOC is provided by an eligible institution that has a minimum rating of A2 or P-1. As a result, the ratings of the collateralized notes are not capped by the LT Issuer rating of Santander Bank, N.A. (Baa1). The Class D, Class E, and Class F notes are fixed-rate, unsecured obligations of SBNA and do not benefit from the protections provided by the cash collateral account or the LOC. Interest and principal on these notes are paid solely from SBNA's general funds, without recourse to the collateral account or the LOC. Accordingly, Moody's capped the ratings of these notes at SBNA's long-term issuer rating (Baa1), and changes in SBNA's ratings could lead to changes in the ratings of Class D, Class E, and Class F notes. The credit risk exposure of the notes depends on the actual realized losses incurred by the reference pool. This transaction has a pro-rata structure, which is more beneficial to the subordinate bondholders than the typical sequential-pay structure for US auto loan transactions. However, the subordinate bondholders will not receive any principal unless performance tests are satisfied. The ratings are based on the quality of the underlying collateral and its expected performance, the strength of the capital structure, the experience and expertise of Santander Bank, N.A. as the servicer, and the creditworthiness of SBNA as reflected in its credit rating. Moody's median cumulative net loss expectation for the 2026-A reference pool is 1.80% and a loss at a Aaa stress of 10.75%, lower than the 3.00% median cumulative loss and 12.50% Aaa stress loss assigned for 2025-A, the last transaction Moody's rated. Moody's based Moody's cumulative net loss expectation on an analysis of the credit quality of the underlying collateral; the historical performance of similar collateral, including securitization performance and managed portfolio performance; the ability of Santander Bank, N.A. and Santander Consumer USA Inc. to perform the servicing functions; and current expectations for the macroeconomic environment during the life of the transaction. At closing, the Class A-2 notes, Class B notes, Class C notes, Class D notes, Class E notes and Class F notes benefit 12.00%, 7.40%, 6.70%, 5.65%, 3.85%, and 2.45% of hard credit enhancement, respectively. Hard credit enhancement for the notes consists of subordination. PRINCIPAL METHODOLOGY The principal methodology used in these ratings was "Moody's Global Approach to Rating Auto Loan- and Lease-Backed ABS" published in June 2025. Factors that would lead to an upgrade or downgrade of the ratings: Up Moody's could upgrade the Class B, Class C, Class D, Class E, and Class F notes if levels of credit enhancement are higher than necessary to protect investors against current expectations of portfolio losses. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market and the market for used vehicles. Other reasons for better-than-expected performance include changes to servicing practices that enhance collections or refinancing opportunities that result in prepayments. Down Moody's could downgrade the notes if given current expectations of portfolio losses, levels of credit enhancement are consistent with lower ratings. Credit enhancement could decline if realized losses reduce available subordination. Moody's expectations of pool losses could rise as a result of a higher number of obligor defaults or deterioration in the value of the vehicles securing an obligor's promise of payment. Portfolio losses also depend greatly on the US job market, the market for used vehicles, and poor servicing. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance, and fraud. Additionally, Moody's could also downgrade the Class D, Class E and Class F notes if SBNA's long-term issuer rating is downgraded. SBNA AUTO 2025-SF1: Fitch Affirms Bsf Rating on Class F Notes ------------------------------------------------------------- Fitch Ratings has affirmed the ratings of all outstanding notes of SBNA Auto Receivables Trust (SBAT) 2025-SF1. The Rating Outlook has been revised to Positive from Stable for the Class C notes and to Negative from Stable for the Class F notes. The Outlooks on the other classes remain Stable. Entity/Debt Rating Prior ----------- ------ ----- SBNA Auto Receivables Trust 2025-SF1 B 78437XAB2 LT PIFsf Paid In Full AAsf C 78437XAC0 LT Asf Affirmed Asf D 78437XAD8 LT BBBsf Affirmed BBBsf E 78437XAE6 LT BBsf Affirmed BBsf F 78437XAF3 LT Bsf Affirmed Bsf KEY RATING DRIVERS The affirmations of the outstanding notes reflect available credit enhancement (CE) and loss performance to date. CNLs are tracking slightly above the initial rating case proxy based on a pool factor projection. Hard CE levels have grown for all classes since close; however excess spread has decreased from 2.08% per annum to 1.74% per annum. The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in the portfolio's credit quality in stress scenarios, and that loss coverage will continue to increase as the transaction amortizes. The Positive Outlooks on the class C notes reflect the possibility of an upgrade in the next one to two years because the notes have been receiving principal payments, and the class B notes have paid down, increasing CE. The Negative Outlook on the class F notes reflects the possibility of a downgrade in the next one to two years due to declining excess spread and volatile overcollateralization (OC) levels in recent months, resulting in the compression of the breakeven loss coverage multiple below the required 'Bsf' level. OC initially fell to 0.16% as of the March reporting date, due to higher losses, partly because of weaker recoveries. However, target OC has since recovered to 0.25% as of the June reporting period. Further, CNL projections have recently improved from 3.31% in March to 3.06% in May. Fitch will continue to monitor performance and loss coverage to determine if any further action is required. As of the May 2026 collection period, 61+ day delinquencies were 0.79%. In the same period, cumulative net losses (CNL) were 1.02%, tracking above Fitch's initial loss expectation of 3.00%. Losses rose faster than Fitch's initial expectation due to recovery lags but slowed as of the June reporting period. Hard CE has increased to 10.53%, 5.13%, 3.40%, and 0.63% from 7.10%, 3.50%, 2.35%, and 0.50% for Class C, D, E, and F notes, respectively. The lifetime CNL proxy considers the transaction's remaining pool factor, pool composition, and performance to date. Furthermore, they consider current and future macro-economic conditions that drive loss frequency, along with the state of wholesale vehicle values, which affect recovery rates, and ultimately, transaction losses. To account for potential further increases in delinquencies and losses, Fitch applied conservative assumptions in deriving the updated rating case proxy. While the pool factor projection of 3.06% is slightly higher than the rating case proxy of 3.00%, Fitch expects losses to be front loaded, which could further improve the pool factor projection. Fitch maintained the rating case loss assumption for this review and will continue to monitor performance to determine whether revisions are needed if losses continue at their current pace. Under the revised lifetime CNL loss proxy, cash flow modeling continues to support multiples consistent with or in excess of 3.00x for 'Asf', 2.00x for 'BBBsf', and 1.50x for 'BBsf'. Loss coverage multiples on the class F notes have compressed since closing and are just below 1.00x, the level required for 'Bsf'. As a result, the Outlook on the class F notes was revised to Negative from Stable. Fitch's base case credit loss expectation, which does not include a margin of safety and is not used in Fitch's quantitative analysis to assign ratings, is 2.80%. This calculation is based on Fitch's "Global Economic Outlook - June 2026," as well as prior and projected transaction performance. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Unanticipated increases in the frequency of defaults could produce default levels higher than the current projected rating case default proxy and impact available loss coverage and multiples levels for the transaction. Weakening asset performance is strongly correlated to increasing levels of delinquencies and defaults that could negatively impact CE levels. Lower loss coverage could impact ratings and Outlooks, depending on the extent of the decline in coverage. In Fitch's initial review, the notes were found to have limited sensitivity to a 1.5x and 2.0x increase of Fitch's rating case loss expectation for each transaction. This sensitivity suggests ratings for the subordinate notes could be downgraded by up to two rating categories. To date, while the transaction had exhibited weaker performance, with projections above Fitch's initial expectations and declining excess spread, hard credit enhancement has generally increased enough to support adequate loss coverage and multiples at the current rating levels, except for class F notes which have experienced compression in the breakeven loss coverage multiple. Therefore, further deterioration in performance would have to occur within the asset collateral to have potential negative impact on the outstanding notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Stable to improved asset performance, driven by stable delinquencies and defaults, would lead to increasing CE levels and consideration for potential upgrades. If CNL is 20% less than projected rating case CNL proxy, the ratings for the subordinated notes could be maintained or upgraded one to two categories. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2026-8: Fitch Rates Class B5 Certs 'B(EXP)sf' -------------------------------------------------------------- Fitch Ratings has assigned expected ratings and Rating Outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-8 (SEMT 2026-8). Entity/Debt Rating ----------- ------ SEMT 2026-8 A1 LT AAA(EXP)sf Expected Rating A2 LT AAA(EXP)sf Expected Rating A3 LT AAA(EXP)sf Expected Rating A4 LT AAA(EXP)sf Expected Rating A5 LT AAA(EXP)sf Expected Rating A6 LT AAA(EXP)sf Expected Rating A7 LT AAA(EXP)sf Expected Rating A7A LT AAA(EXP)sf Expected Rating A8 LT AAA(EXP)sf Expected Rating A9 LT AAA(EXP)sf Expected Rating A10 LT AAA(EXP)sf Expected Rating A11 LT AAA(EXP)sf Expected Rating A12 LT AAA(EXP)sf Expected Rating A13 LT AAA(EXP)sf Expected Rating A14 LT AAA(EXP)sf Expected Rating A15 LT AAA(EXP)sf Expected Rating A16 LT AAA(EXP)sf Expected Rating A16A LT AAA(EXP)sf Expected Rating A17 LT AAA(EXP)sf Expected Rating A18 LT AAA(EXP)sf Expected Rating A19 LT AAA(EXP)sf Expected Rating A20 LT AAA(EXP)sf Expected Rating A21 LT AAA(EXP)sf Expected Rating A22 LT AAA(EXP)sf Expected Rating A23 LT AAA(EXP)sf Expected Rating A24 LT AAA(EXP)sf Expected Rating A25 LT AAA(EXP)sf Expected Rating A26F LT AAA(EXP)sf Expected Rating A27 LT AAA(EXP)sf Expected Rating A28 LT AAA(EXP)sf Expected Rating A29 LT AAA(EXP)sf Expected Rating ACH4 LT AAA(EXP)sf Expected Rating A31 LT AAA(EXP)sf Expected Rating ACH67 LT AAA(EXP)sf Expected Rating A32 LT AAA(EXP)sf Expected Rating A33 LT AAA(EXP)sf Expected Rating A34 LT AAA(EXP)sf Expected Rating A35 LT AAA(EXP)sf Expected Rating A36 LT AAA(EXP)sf Expected Rating A37 LT AAA(EXP)sf Expected Rating A38 LT AAA(EXP)sf Expected Rating A39 LT AAA(EXP)sf Expected Rating A40 LT AAA(EXP)sf Expected Rating A41 LT AAA(EXP)sf Expected Rating A42 LT AAA(EXP)sf Expected Rating A43 LT AAA(EXP)sf Expected Rating A44 LT AAA(EXP)sf Expected Rating A45 LT AAA(EXP)sf Expected Rating A46 LT AAA(EXP)sf Expected Rating AIO1 LT AAA(EXP)sf Expected Rating AIO2 LT AAA(EXP)sf Expected Rating AIO3 LT AAA(EXP)sf Expected Rating AIO4 LT AAA(EXP)sf Expected Rating AIO5 LT AAA(EXP)sf Expected Rating AIO6 LT AAA(EXP)sf Expected Rating AIO7 LT AAA(EXP)sf Expected Rating AIO8 LT AAA(EXP)sf Expected Rating AIO9 LT AAA(EXP)sf Expected Rating AIO10 LT AAA(EXP)sf Expected Rating AIO11 LT AAA(EXP)sf Expected Rating AIO12 LT AAA(EXP)sf Expected Rating AIO13 LT AAA(EXP)sf Expected Rating AIO14 LT AAA(EXP)sf Expected Rating AIO15 LT AAA(EXP)sf Expected Rating AIO16 LT AAA(EXP)sf Expected Rating AIO17 LT AAA(EXP)sf Expected Rating AIO18 LT AAA(EXP)sf Expected Rating AIO19 LT AAA(EXP)sf Expected Rating AIO20 LT AAA(EXP)sf Expected Rating AIO21 LT AAA(EXP)sf Expected Rating AIO22 LT AAA(EXP)sf Expected Rating AIO23 LT AAA(EXP)sf Expected Rating AIO24 LT AAA(EXP)sf Expected Rating AIO25 LT AAA(EXP)sf Expected Rating AIO26 LT AAA(EXP)sf Expected Rating AIO27F LT AAA(EXP)sf Expected Rating AIO29 LT AAA(EXP)sf Expected Rating AIO30 LT AAA(EXP)sf Expected Rating AIO36 LT AAA(EXP)sf Expected Rating AIO37 LT AAA(EXP)sf Expected Rating AIO38 LT AAA(EXP)sf Expected Rating AIO39 LT AAA(EXP)sf Expected Rating AIO40 LT AAA(EXP)sf Expected Rating AIO41 LT AAA(EXP)sf Expected Rating AIO42 LT AAA(EXP)sf Expected Rating AIO43 LT AAA(EXP)sf Expected Rating AIO44 LT AAA(EXP)sf Expected Rating AIO45 LT AAA(EXP)sf Expected Rating AIO46 LT AAA(EXP)sf Expected Rating AIO47 LT AAA(EXP)sf Expected Rating AIO67 LT AAA(EXP)sf Expected Rating B1 LT AA(EXP)sf Expected Rating B1A LT AA(EXP)sf Expected Rating B1X LT AA(EXP)sf Expected Rating B2 LT A(EXP)sf Expected Rating B2A LT A(EXP)sf Expected Rating B2X LT A(EXP)sf Expected Rating B3 LT BBB(EXP)sf Expected Rating B4 LT BB(EXP)sf Expected Rating B5 LT B(EXP)sf Expected Rating B6 LT NR(EXP)sf Expected Rating AIOS LT NR(EXP)sf Expected Rating R LT NR(EXP)sf Expected Rating LTR LT NR(EXP)sf Expected Rating Transaction Summary The certificates are supported by 439 loans with a total balance of approximately $552.18 million as of the cutoff date. The pool consists of prime jumbo fixed-rate mortgages acquired by Redwood Residential Acquisition Corp. from Rocket Mortgage, CrossCountry Mortgage and various mortgage originators. Distributions of principal and interest and loss allocations are based on a senior-subordinate, shifting-interest structure with full advancing. The borrowers in the pool exhibit a strong credit profile, with a weighted-average Fitch FICO of 777 and 37.6% debt-to-income ratio. The borrowers also have moderate leverage, with a 68.9% mark-to-market combined LTV. Overall, 95.8% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzes loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-8 has a final probability of default of 10.1% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress is 33.1%. The expected loss in the 'AAAsf' rating stress is 3.3%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation in SEMT 2026-8 are based on a senior-subordinate, shifting-interest structure whereby the subordinate classes receive only scheduled principal and are locked out from receiving unscheduled principal or prepayments for five years. Fitch analyses the capital structure to determine the adequacy of the transaction's credit enhancement to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applies its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The credit enhancement for all ratings was sufficient for the given rating levels. The credit enhancement for a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considers originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement framework to derive a potential operational risk adjustment. The only consideration that has a direct impact on Fitch's loss expectations is due diligence. Third-party due diligence was performed on 97.9% of the loans in the transaction by loan count. Fitch applies a 5-bps z-score reduction for loans fully reviewed by a third-party review (TPR) firm that have a final grade of either A or B. Counterparty and Legal Analysis: Fitch expects all relevant transaction parties to conform with the requirements described in its "Global Structured Finance Rating Criteria." Relevant parties are those whose failure to perform could have a material outcome on the performance of the transaction. In addition, all legal requirements should be satisfied to fully de-link the transaction from any other entities. Fitch expects SEMT 2026-8 to be fully de-linked and bankruptcy remote SPV. All transaction parties and triggers align with Fitch expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations do not apply to SEMT 2026-8 and therefore Fitch is comfortable rating to the highest possible rating at 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 37.6% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, Consolidated Analytics, and Opus. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm and that have a final grade of either A or B. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SEQUOIA MORTGAGE 2026-HYB2: Fitch Rates Class B2 Certs 'B-sf' ------------------------------------------------------------- Fitch Ratings has assigned final ratings and rating outlooks to the residential mortgage-backed certificates issued by Sequoia Mortgage Trust 2026-HYB2 (SEMT 2026-HYB2). Entity/Debt Rating Prior ----------- ------ ----- SEMT 2026-HYB2 A1 LT AAAsf New Rating AAA(EXP)sf A1AF LT AAAsf New Rating AAA(EXP)sf A1A LT AAAsf New Rating AAA(EXP)sf A1AIO LT AAAsf New Rating AAA(EXP)sf A1BF LT AAAsf New Rating AAA(EXP)sf A1B LT AAAsf New Rating AAA(EXP)sf A1BIO LT AAAsf New Rating AAA(EXP)sf A2 LT AA-sf New Rating AA-(EXP)sf A2F LT AA-sf New Rating AA-(EXP)sf A2IO LT AA-sf New Rating AA-(EXP)sf M1 LT Asf New Rating A(EXP)sf M2 LT BBB-sf New Rating BBB-(EXP)sf B1 LT BBsf New Rating BB(EXP)sf B2 LT B-sf New Rating B-(EXP)sf B3 LT NRsf New Rating NR(EXP)sf AIOS LT NRsf New Rating NR(EXP)sf R LT NRsf New Rating NR(EXP)sf Transaction Summary The certificates are supported by 349 loans with a total balance of approximately $463.20 million as of the cutoff date. The pool consists of prime jumbo adjustable-rate mortgages acquired by Redwood Residential Acquisition Corp. (RRAC) from various mortgage originators. Distributions of principal and interest (P&I) and loss allocations are based on a sequential-pay structure with full advancing. The borrowers in the pool show strong credit profiles, with a weighted-average (WA) Fitch FICO of 781 and 36.7% debt-to-income (DTI) ratio. The borrowers also have moderate leverage, with a 68.7% mark-to-market combined LTV (cLTV). Overall, 91.9% of the pool loans are for primary residences, while the remainder are second homes. In addition, 100% of the loans were underwritten to full documentation. Following the publication of the expected ratings and Fitch's presale report, the issuer dropped four loans from the transaction, which resulted in 3 bps higher expected losses in the 'AAAsf' rating stress. Fitch also analyzed an updated structure that reflected the updated balances. Fitch re-ran its asset and cashflow analysis and confirmed no changes to the credit enhancement (CE) levels and expected ratings of the existing bonds. KEY RATING DRIVERS Credit Risk of Mortgage Assets: RMBS transactions are directly affected by the performance of the underlying residential mortgages or mortgage-related assets. Fitch analyzed loan-level attributes and macroeconomic factors to assess the credit risk and expected losses. SEMT 2026-HYB2 had a final probability of default (PD) of 9.80% in the 'AAAsf' rating stress. Fitch's final loss severity in the 'AAAsf' rating stress was 32.76%. The expected loss in the 'AAAsf' rating stress was 3.21%. Structural Analysis (Mixed): The mortgage cash flow and loss allocation were based on a sequential-pay structure, whereby interest and principal are paid pro rata amongst classes A-1A and A-1B (with classes A-1AIO and A-1BIO receiving their respective interest allocation), followed by classes A-2 to B-3 sequentially. Realized losses will be allocated in reverse-sequential order, beginning with class B-3. SEMT 2026-HYB2 will feature the servicing administrator (RRAC), following initial reductions in the class A-IO-S strip and servicing administrator fees, obligated to advance delinquent (DQ) P&I to the trust until deemed nonrecoverable for the servicing-released mortgage loans. Full advancing of P&I is a common structural feature across prime transactions in providing liquidity to the certificates, and absent the full advancing, bonds can be vulnerable to missed payments during periods of adverse performance and delinquencies. Due to the sequential structure and full advancing, the CE levels are equivalent to Fitch's expected losses at each rating category, except the 'AAAsf' notes, due to the limited principal leakage as a result of the pro rata allocations between the class A-1A and A-1B notes. Fitch analyzed the capital structure to determine the adequacy of the transaction's CE to support payments on the securities under multiple scenarios incorporating Fitch's loss projections derived from the asset analysis. Fitch applied its assumptions for defaults, prepayments, delinquencies and interest rate scenarios. The CE for all ratings were sufficient for the given rating levels. The credit CE or a given rating exceeded the expected losses of that rating stress to address the structures recoupment of advances and leakage of principal to more subordinate classes. Operational Risk Analysis: Fitch considered originator and servicer capability, third-party due diligence results, and the transaction-specific representation, warranty and enforcement (RW&E) framework to derive a potential operational risk adjustment. The only consideration that had a direct impact on Fitch's loss expectations was due diligence. Third-party due diligence was performed on 100.0% of the loans in the transaction by loan count. Fitch applied a 5bp z-score reduction for loans fully reviewed by a third-party review (TPR) firm, which had a final grade of either "A" or "B." Counterparty and Legal Analysis: Fitch confirmed all relevant transaction parties conformed with the requirements described in its Global Structured Finance Rating Criteria. Relevant parties are those whose failure to perform could have a material impact on the performance of the transaction. Additionally, all legal requirements were satisfied to fully de-link the transaction from any other entities. SEMT 2026-HYB2 was fully de-linked and a bankruptcy remote special purpose vehicle (SPV). All transaction parties and triggers aligned with Fitch's expectations. Rating Cap Analysis: Common rating caps in U.S. RMBS may include, but are not limited to, new product types with limited or volatile historical data and transactions with weak operational or structural/counterparty features. These considerations did not apply to SEMT 2026-HYB2, and therefore, Fitch was comfortable assigning the highest possible rating of 'AAAsf' without any rating caps. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at the metropolitan statistical area level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. The defined negative rating sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MVDs of 10%, 20% and 30%, in addition to the model-projected 38.0% at 'AAAsf'. The analysis indicates there is some potential rating migration with higher MVDs compared to the model projection. Specifically, a 10% additional decline in home prices would lower all rated classes by one full category. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Fitch incorporates a sensitivity analysis to demonstrate how the ratings would react to steeper MVDs than assumed at the MSA level. Sensitivity analysis was conducted at the state and national levels to assess the effect of higher MVDs for the subject pool as well as lower MVDs, illustrated by a gain in home prices. This defined positive rating sensitivity analysis demonstrates how the ratings would react to positive home price growth of 10% with no assumed overvaluation. Excluding the senior class, which is already rated 'AAAsf', the analysis indicates there is potential positive rating migration for all the rated classes. Specifically, a 10% gain in home prices would result in a full category upgrade for the rated class, excluding those assigned ratings of 'AAAsf'. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Fitch was provided with Form ABS Due Diligence-15E (Form 15E) as prepared by SitusAMC, Clayton, and Consolidated Analytics. The third-party due diligence described in Form 15E focused on credit, compliance, and property valuation. Fitch considered this information in its analysis and, as a result, Fitch applies an approximate 5-bp z-score reduction for loans fully reviewed by the TPR firm, and that have a final grade of either 'A' or 'B'. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. SG RESIDENTIAL 2026-4: S&P Assigns B- (sf) Rating on Cl. B-2 Certs ------------------------------------------------------------------ S&P Global Ratings assigned its ratings to SG Residential Mortgage Trust 2026-4's residential mortgage pass-through certificates. The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans secured primarily by single-family residential properties, planned-unit developments, condominiums, a co-operative property, and two- to four-family residential properties to both prime and nonprime borrowers. The pool has 617 loans. S&P said, "After we assigned preliminary ratings on June 9, 2026, two loans were dropped from the pool and the resulting pool balance reduction was distributed proportionally among the classes. The issuer also decided not to issue the class A-1FCF, A-1FCX, and A-1LCF certificates. Therefore, we did not assign ratings to the class A-1FCF, A-1FCX, and A-1LCF certificates. In turn, the certificate amounts of classes A-1A and A-1B increased to $244.619 million from $159.174 million and to $36.402 million from $23.687 million, respectively, and the certificate amount from the corresponding class A-1 increased to $281.021 million from $182.861 million. The resized bonds did not change the credit enhancement on the transaction. In addition, the class B-1 certificates were priced as the net weighted average coupon. After reviewing the final structure, we assigned final ratings that are unchanged from the preliminary ratings." The ratings reflect: -- The pool's collateral composition; -- The transaction's credit enhancement, associated structural mechanics, representation and warranty framework, and geographic concentration; -- The mortgage aggregator, SG Capital Partners LLC, and the mortgage originator ClearEdge Lending LLC; -- The 100% due diligence results consistent with represented loan characteristics; and -- S&P said, "Our U.S. economic outlook, which considers our current projections for U.S. economic growth, unemployment rates, and interest rates, as well as our view of housing fundamentals, and is updated, if necessary, when these projections change materially." Ratings Assigned(i) SG Residential Mortgage Trust 2026-4 Class A-1A, $244,619,000: AAA (sf) Class A-1B, $36,402,000: AAA (sf) Class A-1, $281,021,000: AAA (sf) Class A-2, $18,746,000: AA (sf) Class A-3, $31,488,000: A (sf) Class M-1, $14,925,000: BBB- (sf) Class B-1, $8,372,000: BB- (sf) Class B-2, $5,642,000: B- (sf) Class B-3, $3,822,979: NR Class A-IO-S, notional(ii): NR Class XS, notional(ii): NR Class R, N/A: NR (i)The ratings address the ultimate payment of interest and principal; they do not address the payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period. N/A--Not applicable. NR--Not rated. SUNNOVA HELIOS X: Fitch Lowers Rating on Class C Notes to Bsf ------------------------------------------------------------- Fitch Ratings has resolved the Rating Watch Negative (RWN) on all the Sunnova Helios ABS transactions. Fitch has affirmed the ratings for the Class A tranches of Sunnova Helios 2022-B IX (Sunnova IX), Class A and B tranches of Sunnova Helios 2022-C X (Sunnova X) and Sunnova Helios 2024-B XIV (Sunnova XIV) and all tranches of Sunnova Helios 2023-A XI (Sunnova XI), Sunnova Helios 2023-B XII (Sunnova XII) and Sunnova Helios 2024-A XIII (Sunnova XIII). Fitch has downgraded the Class B tranches of Sunnova IX and Class C tranches of Sunnova X and XIV. Fitch has assigned Negative Rating Outlooks to the tranche C of Sunnova X, tranche B and C of Sunnova XIV, and assigned Stable Rating Outlooks on all the other tranches. Entity/Debt Rating Prior ----------- ------ ----- Sunnova Helios IX Issuer, LLC Class A Notes 86744VAA9 LT Asf Affirmed Asf Class B Notes 86744VAB7 LT BBsf Downgrade BBB-sf Sunnova Helios X Issuer, LLC A 86744WAA7 LT AA-sf Affirmed AA-sf B 86744WAB5 LT Asf Affirmed Asf C 86744WAC3 LT Bsf Downgrade BBsf Sunnova Helios XI Issuer, LLC A 86746AAA3 LT AA-sf Affirmed AA-sf B 86746AAB1 LT A-sf Affirmed A-sf C 86746AAC9 LT BBBsf Affirmed BBBsf Sunnova Helios XII Issuer, LLC A 86745YAA2 LT AA-sf Affirmed AA-sf B 86745YAB0 LT A-sf Affirmed A-sf C 86745YAC8 LT BBBsf Affirmed BBBsf Sunnova Helios XIII Issuer, LLC A 86745CAA0 LT AA-sf Affirmed AA-sf B 86745CAB8 LT A-sf Affirmed A-sf C 86745CAC6 LT BBBsf Affirmed BBBsf Sunnova Helios XIV Issuer, LLC A 866974AA6 LT Asf Affirmed Asf B 866974AB4 LT BBBsf Affirmed BBBsf C 866974AC2 LT B-sf Downgrade BBsf Transaction Summary The Sunnova Helios transactions are securitizations of consumer loans originated by Sunnova Energy International Inc. (Sunnova) and backed by photovoltaic (PV) systems and/or batteries to store the energy produced. Sunnova filed for Chapter 11 bankruptcy on June 8, 2025. In January 2026, Fitch had placed all the Fitch-rated Sunnova Helios ABS transactions on RWN following the spike in defaults and delinquencies observed during the November and December 2025 collection periods. The deterioration was primarily driven by a combination of continued weakening of the legacy asset pool (originated by Sunnova prior to its bankruptcy) and one-time, non-recurring changes to delinquency and default recognition introduced during the servicing transition — namely, a recalculation of delinquency buckets and the reclassification of certain payment-plan loans as defaulted. These recognition changes affected reported metrics rather than the underlying credit quality of the collateral. In November 2025, based on information provided by SunStrong, the annualized constant default rate (CDR) across all securitizations originally sponsored by Sunnova, including those not rated by Fitch, surged to 11.7%, up sharply from 4.6% in October. This spike was driven primarily by a one-time, non-recurring adjustment to Sunnova's default reporting methodology: specifically, the removal of the 30-day grace period and the reclassification of borrowers on payment plans who were more than 180 days delinquent. This adjustment accounted for approximately 59% of the increase. Since the one-time spikes observed across the Fitch-rated transactions, CDRs and early-stage delinquencies (31-120 days past due) have trended downward across all deals. While performance metrics remain elevated relative to pre-bankruptcy levels, the improvement indicates progress in SunStrong's servicing transition following its appointment as the new servicer. Across the Fitch-rated Sunnova transactions, CDRs ranged from 2% to 11% as of the April 2026 collection period, down materially from the 9% to 18% range reported during the November 2025 collection period. Although these levels remain above those observed prior to the bankruptcy filing, the declining trend is viewed as a positive indicator of emerging performance stabilization. The affirmations reflect: (i) credit enhancement (CE) levels commensurate with the assigned ratings; (ii) Fitch's view that SunStrong has been making efforts to improve the underlying collateral performance as observed by a declining trend in delinquencies and CDRs across the deals along with strengthening the servicing capabilities through expanded operating tools and more coordinated borrower outreach. The downgrades reflect the continued deterioration in asset performance compared with available levels of CE. Lower prepayment rates and higher defaults have increased their sensitivity to economic pressure. Since closing, these transactions have shown lower overcollateralization and significant negative excess spread. These trends have increased pressure on the subordinated notes. The Negative Rating Outlooks for tranche C of Sunnova X, and tranche B and C of Sunnova XIV are driven by a deterioration in the CE observed across all these tranches exposing them negatively to additional asset performance volatility. KEY RATING DRIVERS Completed Servicing and Operations & Maintenance (O&M) Manager Transition: On Sept. 3, 2025, through Sunnova's court-supervised chapter 11 sale process, Solaris Assets, LLC, through affiliates and subsidiaries, acquired substantially all of Sunnova's assets and operations. As part of the sale transaction, SunStrong, a full-service asset manager for the renewables industry, has assumed responsibility for the servicing of the accounts for substantially all in-service customer systems, to ensure continuity of operations and support for customers. SunStrong is jointly owned by HASI and GoodFinch Management, LLC, mirroring the ownership structure of its sister company SunStrong Capital Holdings. SunStrong is an independently capitalized residential solar asset manager responsible for billing and collections, operations and maintenance, and fund administration across over 500,000 assets portfolio. SunStrong combines in-house remote diagnostics with a network of installer partners for O&M, while partnering with Launch Servicing, LLC, Concord Servicing LLC, and Genpact LLC for billing and collection execution. Loan-Level Production Guaranty Dismissed: Fitch views the removal of the loan-level production guarantee—previously a corporate obligation of Sunnova Energy Corp. that did not survive Sunnova's bankruptcy and the court-supervised sale, and was therefore not assumed by the acquirer—as a factor that could introduce short-term disruptions and elevate risk in the affected Sunnova Helios transactions (IX, X, XI, XII, XIII, and XIV). To address this heightened risk, Fitch has maintained the highest rating default multiples increase at 0.25x, with proportional adjustments made across all rating categories. Low Prepayments Exacerbate Negative Excess Spread: Prepayments in Sunnova IX, X, XI and XII have been below Fitch's initial expectations. Conversely, prepayments in newer deals, namely Sunnova XIII and XIV, have been closer to Fitch's initial expectations. In addition, the broader economic environment, characterized by subdued housing activity and anticipated delayed monetary easing, suggests that prepayments will continue to remain low. Fitch's weighted average (WA) base case annual prepayment assumptions at 'AA-sf' remained unchanged across all deals compared to the last review. All the deals are past the re-amortization period and the WA base case annual prepayment assumptions for the post-reamortization stand at 2.75% for Sunnova IX, 2.96% for Sunnova X, 3.23% for Sunnova XI, 3.60% for Sunnova XII, 3.27% for Sunnova XIII and 2.75% for Sunnova XIV. Low prepayments exacerbate the impact of negative excess spread on the Sunnova Helios transactions' credit profiles. The current WA cost of funds (rebased to stated principal balance) for these deals ranges from 3.30% to 4.90%, which yield annual excess spreads after accounting for AA-sf servicing fees, ranging from -2.47% to -1.16% annually. While the loans were purchased at a discount to mitigate negative or low excess spreads, lower prepayments extend the life of rated notes, increasing losses due to negative excess spreads. This results in less CE to protect against credit losses. Asset Performance Showing Signs of Stabilizing: Since June 2025, reported defaults have increased significantly across all Sunnova transactions, driven by the originator's bankruptcy and the subsequent servicing transition required, which introduced short-term volatility in reported metrics as recognition procedures were standardized. Defaults rose materially during this period; however, they peaked during the November 2025 collection period. Since then, Fitch has observed a declining trend in both delinquencies and constant default rates (CDRs) across all deals. SunStrong has been actively involved in stabilizing performance, and the transactions are showing early positive direction for delinquencies. To account for the significant spike in defaults and deterioration in asset performance observed during the servicing transition, Fitch updated its base case default rates for the remaining life of the transactions and reviewed its default multiples. The updated base case default rate assumptions and default rate multiples reflect: (i) additional FICO-based performance data, (ii) Sunnova bankruptcy's impact on underlying collateral, (iii) different FICO weights by transaction, and (iv) Fitch's macroeconomic outlook. Fitch raised its WA base case default rate assumptions. The adjustments as follows: Sunnova IX to 15.92% from 11.23%, Sunnova X to 15.56% from 10.88%, Sunnova XI to 12.37% from 8.95%, Sunnova XII to 13.13% from 8.94%, Sunnova XIII to 14.93% from 10.39%, and Sunnova XIV to 20.95% from 15.42%. Adjustments were made to the rating default multiples Fitch used to stress performance at higher rating levels. The WA rating default multiples at 'AA-sf' changed as follows: Sunnova IX and Sunnova X decreased by 0.15x to 3.59x and 3.60x respectively; Sunnova XI decreased by 0.12x to 3.76x; Sunnova XII decreased by 0.18x to 3.67x; Sunnova XIII decreased by 0.19x to 3.57x, and Sunnova XIV increased by 0.10x to 3.57x. These updates reflect the incorporation of additional FICO-based performance data and Fitch's latest macroeconomic outlook. Representations, Warranties and Guarantee Payments: Solaris Assets LLC has taken responsibility from Sunnova to repurchase any loans that breach the representations and warranties. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade - Material changes in policy support; - The economics of purchasing and financing PV panels and batteries, and/or ground-breaking technological advances that make the existing equipment obsolete may also negatively affect the ratings; - Peaks in faulty equipment that result in the need for replacing inverters and batteries at a faster pace than the monthly deposits to the equipment reserve may also affect the ratings; - Longer or more severe-than-expected asset performance deterioration. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade - Fitch currently caps solar loan securitization ratings in the 'AAsf' category due to limited performance history. Nevertheless, a positive rating action could result from an increase of CE due to deleveraging, underpinned by strong transaction performance. CRITERIA VARIATION Fitch applied a variation from its Consumer ABS Rating Criteria to deviate downward from the Model Implied Rating by more than three notches for the Sunnova Helios 2023-B XII class B and C notes and Sunnova Helios 2024-B XIV class A note. The ultimate ratings were informed by the sensitivity analysis due to the sensitivity of the ratings to model assumptions and conventions, repayment timing and tranche thickness. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. TEXAS DEBT 2024-I: Fitch Assigns BB-(EXP)sf Rating on Cl. E-R Debt ------------------------------------------------------------------ Fitch Ratings has assigned expected ratings and Rating Outlooks to the Texas Debt Capital CLO 2024-I, Ltd. reset transaction. Entity/Debt Rating ----------- ------ Texas Debt Capital CLO 2024-I, Ltd. A-1-R LT AAA(EXP)sf Expected Rating A-2-R LT AAA(EXP)sf Expected Rating B-R LT AA(EXP)sf Expected Rating C-R LT A(EXP)sf Expected Rating D-1-R LT BBB-(EXP)sf Expected Rating D-2-R LT BBB-(EXP)sf Expected Rating E-R LT BB-(EXP)sf Expected Rating X-R LT NR(EXP)sf Expected Rating Transaction Summary Texas Debt Capital CLO 2024-I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by CIFC Asset Management LLC, which originally closed in March 2024. The transaction will be fully refinanced for the first time on June 29, 2026. Net proceeds from the issuance of the secured notes and additional subordinated notes will provide financing on a portfolio of approximately $600 million of primarily first lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B+'/'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 22.93, and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 95.78% first lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 72.37% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 46.5% of the portfolio balance in aggregate while the top five obligors can represent up to 6.25% of the portfolio balance in aggregate on the initial matrix. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with that of other recent CLOs. Portfolio Management: The transaction has a 5.1-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The weighted average life (WAL) used for the transaction stress portfolio and matrices is reduced by up to 12 months for the WAL covenants that are greater than six years, to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The results under these sensitivity scenarios are as severe as between 'A+sf' and 'AAAsf' for class A-1-R notes, between 'A-sf' and 'AA+sf' for class A-2-R notes, between 'BBB-sf' and 'A+sf' for class B-R notes, between 'BB-sf' and 'A-sf' for class C-R notes, between less than 'B-sf' and 'BBB+sf' for class D-1-R notes, between less than 'B-sf' and 'BBB-sf' for class D-2-R notes and between less than 'B-sf' and 'BB-sf' for class E-R notes. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class A-1-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics. The minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R notes, 'AAsf' for class C-R notes, 'A+sf' for class D-1-R notes, 'A-sf' for class D-2-R notes and 'BBB+sf' for class E-R notes. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for the Texas Debt Capital CLO 2024-I, Ltd. reset transaction. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose any ESG factor that is a key rating driver in the key rating drivers section of the relevant rating action commentary. TRESTLES CLO VIII: Fitch Assigns 'Bsf' Rating on Class F-R Notes ---------------------------------------------------------------- Fitch Ratings has assigned ratings and Rating Outlooks to Trestles CLO VIII, Ltd. reset transaction. Entity/Debt Rating Prior ----------- ------ ----- Trestles CLO VIII, Ltd. X-R LT AAAsf New Rating A-1 89533DAC4 LT PIFsf Paid In Full AAAsf A-1-R LT NRsf New Rating A-2 89533DAE0 LT PIFsf Paid In Full AAAsf A-2-R LT AAAsf New Rating B 89533DAG5 LT PIFsf Paid In Full AAsf B-R LT AAsf New Rating C 89533DAJ9 LT PIFsf Paid In Full Asf C-R LT Asf New Rating D-1 89533DAL4 LT PIFsf Paid In Full BBB-sf D-1-R LT BBBsf New Rating D-2 89533DAN0 LT PIFsf Paid In Full BBB-sf D-2-R LT BBB-sf New Rating E 89533EAA6 LT PIFsf Paid In Full BB-sf E-R LT BB-sf New Rating F 89533EAC2 LT PIFsf Paid In Full B-sf F-R LT Bsf New Rating Transaction Summary Trestles CLO VIII, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) managed by APC Asset Development II, LP that originally closed in June 2025 and refinanced in whole on June 11, 2026. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first-lien senior secured leveraged loans. KEY RATING DRIVERS Asset Credit Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. The weighted average rating factor (WARF) of the indicative portfolio is 24.14 and will be managed to a WARF covenant from a Fitch test matrix. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the notes benefit from appropriate credit enhancement and standard U.S. CLO structural features. Asset Security: The indicative portfolio consists of 99.68% first-lien senior secured loans. The weighted average recovery rate (WARR) of the indicative portfolio is 73.84% and will be managed to a WARR covenant from a Fitch test matrix. Portfolio Composition: The largest three industries may comprise up to 43.5% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity resulting from the industry, obligor and geographic concentrations is in line with other recent CLOs. Portfolio Management: The transaction has a five-year reinvestment period and reinvestment criteria similar to other CLOs. Fitch's analysis was based on a stressed portfolio created by adjusting the indicative portfolio to reflect permissible concentration limits and collateral quality test levels. Cash Flow Analysis: Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In Fitch's stress scenarios, the rated notes can withstand default and recovery assumptions consistent with their assigned ratings. The WAL used for the transaction stress portfolio and matrices analysis is reduced by up to 12 months for the WAL covenants that are greater than six years to account for structural and reinvestment conditions after the reinvestment period. In Fitch's opinion, these conditions would reduce the effective risk horizon of the portfolio during stress periods. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Variability in key model assumptions, such as decreases in recovery rates and increases in default rates, could result in a downgrade. Fitch evaluated the notes' sensitivity to potential changes in such a metric. The results under these sensitivity scenarios are as severe as 'AAAsf' for class X-R, between 'A-sf' and 'AA+sf' for class A-2-R, between 'BBB-sf' and 'A+sf' for class B-R, between 'B+sf' and 'A-sf' for class C-R, between less than 'B-sf' and 'BBB-sf' for class D-1-R, between less than 'B-sf' and 'BBB-sf' for class D-2-R, between less than 'B-sf' and 'B+sf' for class E-R and between less than 'B-sf' and 'B+sf' for class F-R. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrade scenarios are not applicable to the class X-R and class A-2-R notes as these notes are in the highest rating category of 'AAAsf'. Variability in key model assumptions, such as increases in recovery rates and decreases in default rates, could result in an upgrade. Fitch evaluated the notes' sensitivity to potential changes in such metrics; the minimum rating results under these sensitivity scenarios are 'AAAsf' for class B-R, 'AA-sf' for class C-R, 'Asf' for class D-1-R, 'BBB+sf' for class D-2-R, 'BBB+sf' for class E-R and 'BBBsf' for class F-R. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations Fitch does not provide ESG relevance scores for Trestles CLO VIII, Ltd. In cases where Fitch does not provide ESG relevance scores in connection with the credit rating of a transaction, programme, instrument or issuer, Fitch will disclose in the key rating drivers any ESG factor which has a significant impact on the rating on an individual basis. TRUPS FINANCIALS 2026-3: Moody's Assigns (P)Ba1 Rating to D Notes ----------------------------------------------------------------- Moody's Ratings has assigned provisional ratings to five classes of notes to be issued by TruPS Financials Note Securitization 2026-3 (the Issuer or TFNS 2026-3): US$196,500,000 Class A-1 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aaa (sf) US$55,750,000 Class A-2 Senior Secured Floating Rate Notes due 2039, Assigned (P)Aa2 (sf) US$23,000,000 Class B Mezzanine Deferrable Floating Rate Notes due 2039, Assigned (P)A2 (sf) US$11,500,000 Class C Mezzanine Deferrable Floating Rate Notes due 2039, Assigned (P)Baa3 (sf) US$11,500,00 Class D Mezzanine Deferrable Floating Rate Notes due 2039, Assigned (P)Ba1 (sf) The notes listed are referred to herein, collectively, as the Rated Notes. RATINGS RATIONALE The rationale for the ratings is based on Moody's methodologies and considers all relevant risks, particularly those associated with the CDO's portfolio and structure. TFNS 2026-3 is a static cash flow CDO. The issued notes will be collateralized primarily by trust preferred securities ("TruPS"), subordinated notes, senior note, surplus notes and senior unsecured notes issued by US community banks and their holding companies and insurance companies. The portfolio is expected to be 100% ramped as of the closing date. EJF CDO Manager LLC (the Manager) will direct the selection, acquisition and disposition of the assets on behalf of the Issuer. The Manager will direct the disposition of any defaulted securities, credit risk securities, certain securities whose issuer has been acquired, or merged with another institution ("APAI securities"). Subject to certain reinvestment criteria, the Manager may reinvest proceeds from sales of APAI securities or from the repayments of substitutable securities. Substitutable security is any bank subordinated note issued after January 01, 2012 that either (a) has a stated maturity that is prior to the second anniversary of the closing date of the transaction or (b) initially bears interest at a fixed rate and is scheduled to convert to a floating rate instrument prior to the second anniversary of the closing date of the transaction. In addition to the Rated Notes, the Issuer will issue one class of preferred shares. The portfolio of this CDO consists of TruPS and subordinated debt issued by 61 US community banks and 8 insurance companies, the majority of which Moody's do not rate. Moody's assess the default probability of bank obligors that do not have public ratings through credit scores derived using RiskCalc™, an econometric model developed by Moody's Analytics. Moody's evaluations of the credit risk of the bank obligors in the pool relies on FDIC Q4-2025 financial data. Moody's assess the default probability of insurance company obligors that do not have public ratings through credit assessments provided by Moody's insurance ratings team based on the credit analysis of the underlying insurance companies' annual statutory financial reports. Moody's assumes a fixed recovery rate of 10% for both the bank and insurance obligations. For modeling purposes, Moody's used the following base-case assumptions: Par amount: $327,872,000 Weighted Average Rating Factor (WARF): 650 Weighted Average Spread (WAS) Float only: 3.37% Weighted Average Coupon (WAC) Fixed only: 7.75% Weighted Average Coupon (WAC) Fixed to float: 7.00% Weighted Average Spread (WAS) Fixed to float: 3.92% Weighted Average Recovery Rate (WARR): 10.00% Weighted Average Life (WAL): 7.1 years In addition to the quantitative factors that Moody's explicitly model, qualitative factors were part of the rating committee consideration. Moody's considers the structural protections in the transaction, the risk of an event of default, the legal environment and specific documentation features. All information available to rating committees, including macroeconomic forecasts, inputs from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transaction, influenced the final rating decision. Methodology Underlying the Rating Action: The principal methodology used in these ratings was "TruPS CDOs" published in June 2025. Factors That Would Lead to an Upgrade or Downgrade of the Ratings: The performance of the Rated Notes is subject to uncertainty. The performance of the Rated Notes is sensitive to the performance of the underlying portfolio, which in turn depends on economic and credit conditions that may change. The portfolio consists primarily of unrated assets whose default probability Moody's assess through credit scores derived using RiskCalc(TM) or credit estimates. Because these are not public ratings, they are subject to additional estimation uncertainty. Moody's obtained a loss distribution for this CDO's portfolio by simulating defaults using Moody's CDOROM(TM), which used Moody's assumptions for asset correlations and fixed recoveries in a Monte Carlo simulation framework. Moody's then used the resulting loss distribution, together with structural features of the CDO, as an input in its CDOEdge(TM) cash flow model. UBS COMMERCIAL 2017-C5: Fitch Lowers Rating on G-RR Certs to 'Csf' ------------------------------------------------------------------ Fitch Ratings has downgraded three and affirmed 10 classes of UBS Commercial Mortgage Trust 2017-C5 (UBSCM 2017-C5) commercial mortgage pass-through certificates. The Rating Outlook for classes B, X-B and C has been revised to Negative from Stable, and classes D-RR and E-RR have been assigned a Negative Outlook. Entity/Debt Rating Prior ----------- ------ ----- UBS 2017-C5 A-4 90276TAF1 LT AAAsf Affirmed AAAsf A-5 90276TAG9 LT AAAsf Affirmed AAAsf A-S 90276TAK0 LT AAAsf Affirmed AAAsf A-SB 90276TAC8 LT AAAsf Affirmed AAAsf B 90276TAL8 LT AA-sf Affirmed AA-sf C 90276TAM6 LT A-sf Affirmed A-sf D 90276TAN4 LT BBB+sf Affirmed BBB+sf D-RR 90276TAQ7 LT BBB-sf Downgrade BBBsf E-RR 90276TAS3 LT Bsf Downgrade BB-sf F-RR 90276TAU8 LT CCCsf Affirmed CCCsf G-RR 90276TAW4 LT Csf Downgrade CCsf X-A 90276TAH7 LT AAAsf Affirmed AAAsf X-B 90276TAJ3 LT AA-sf Affirmed AA-sf KEY RATING DRIVERS 'Bsf' Loss Expectations; Deteriorating Hotel Performance: The deal-level 'Bsf' rating case loss is 6.4%, compared with the expected loss of 6.2% at Fitch's prior review. Fitch Loans of Concern (FLOCs) comprise 11 loans (31.1% of the pool), including one specially serviced loan (3.5%). The downgrades are due to increased loss expectations on the specially serviced asset, DoubleTree Berkeley Marina, and other FLOCs including loans secured by hotels. Higher-than-expected losses on liquidated loan, AHIP Northeast Portfolio III, were also a contributing factor to the downgrades. The Negative Outlooks reflect the potential for downgrades should performance of the hotel FLOCs, Doubletree Wilmington (4.3%), Doubletree Berkeley Marina (3.5%), Candlewood Suites Nashville (1.3%), and Holiday Inn Express Tallahassee (1.5%), deteriorate further and FLOCs are unable to refinance at maturity and/or recovery expectations worsen. Due to the concentrated nature of the pool and near-term loan maturities, Fitch performed a recovery and liquidation analysis that grouped the remaining loans based on their current status, collateral quality, and their perceived likelihood of repayment and/or loss expectation to assess outstanding classes' ratings relative to their credit enhancement (CE); the rating actions incorporate this analysis. Higher probability of default were assigned to loans that are anticipated to default or have already defaulted at maturity due to performance declines and/or rollover concerns. This sensitivity analysis contributed to the stable outlook revisions. FLOCs; Largest Contributors to Expected Loss: The largest contributor to pool loss expectations is the DoubleTree Berkeley Marina (3.5%) loan, which is secured by a 378-key full-service hotel located in Berkeley, CA. The loan transferred to special servicing in February 2025 due to imminent monetary default stemming from the significant decline in NOI since 2019. The loan remains current as of the May 2026 remittance. The borrower is willing to proceed with a deed in lieu of foreclosure, which is currently being evaluated by the special servicer. The property is subject to a 50-year ground lease with the city of Berkeley that expires in December 2058, approximately 31 years after loan maturity. The borrower is currently in default under its ground lease obligations. The YE 2025 NOI is 77% below YE 2019 and 72% below Fitch's expectations from issuance. Total operating expenses have steadily increased since 2022, outpacing the increase in revenue. Per the most recent STR report for the TTM April 2026, occupancy, ADR and RevPAR were 77% (113% penetration rate), $172 (94% penetration rate) and $132 (106% penetration rate), respectively. Fitch's 'Bsf' rating case loss of 43.6% (prior to concentration add-ons) reflects a 11.25% cap rate on the YE 2025 NOI and an elevated probability of default. The second largest contributor to pool loss expectations is DoubleTree Wilmington (4.3%), which is secured by a 244-key full-service hotel located in Wilmington, DE. The loan was flagged as a FLOC due to low DSCR. The loan was previously transferred to the special servicer in July 2020 during the pandemic and returned to the master servicer in January 2022. The loan has remained current as of the May 2026 remittance. Performance has struggled to recover since returning to the master servicer with DSCR remaining below 1.0x since YE 2020, most recently reported at 0.61x as of YE 2025. Fitch's 'Bsf' rating case loss of 29% (prior to concentration add-ons) reflects a 11.25% cap rate, YE 2025 NOI with a 15% stress and a higher probability of default to account for the significant decline in cash flow. The third largest contributor to overall loss expectations is the 50 Varick Street (3.6%), which is secured by a 155,434-sf office property in the Tribeca neighborhood of Manhattan. 50 Varick Street is the official host of TriBeCa Film Festival, New York Fashion Week, and the Independent Art Fair. The subject tenant mix consists of two office tenants, Spring Studios New York LLC (NRA 53%) and Spring Place New York (NRA 47%). Both tenants' leases are scheduled to expire in December 2029, two years beyond the loan's maturity in September 2027. Both leases are structured with rent bumps in 2020, 2023 and 2026. The loan was structured with a 10-year ICAP Tax Abatement that expired in 2025. The original abatement amount was $600,000 in 2015 and began to burn off in 2020. According to the June 2024 loan commentary, Spring Place New York received a notice of event of default for being delinquent on approximately $5.1 million in base rent and common area maintenance, plus $493,000 in additional charges owed to the landlord. Due to the decrease in rental income and expense reimbursement, the servicer-reported NOI DSCR dropped to 0.97x at YE 2025, compared to 0.85x at YE 2024, 1.62x at YE 2023 and 1.63x at YE 2022. According to the servicer, both tenants are currently paying rent. Fitch has reached out for further clarification regarding the delinquent rent payments and current rental rates. Fitch's 'Bsf' case loss of 20.1% (prior to concentration add-ons) reflects a 9% cap rate and a 10% stress to the YE 2025 NOI. Change in CE: As of the May 2026 remittance report, the transaction has been reduced by 34.7% to $485.1 million from $743.4 million at issuance. Realized losses to date are $15.5 million. Since the prior rating action, one loan disposed and incurred a $5.7 million in loss; modeled losses were $2.5 million. The scheduled loan maturities are concentrated in 2027 (90.3% of the pool); three loans (9.7%) have an anticipated repayment date (ARD) in 2027. There are three defeased loans (6.8%). RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to senior 'AAAsf' and 'AAsf' rated classes are not expected given the high CE and expected paydown from amortization and loan payoffs. Downgrades to classes rated in the 'Asf' and 'BBBsf' categories may occur should performance of the FLOCs, which include DoubleTree Berkeley Marina, DoubleTree Wilmington, Candlewood Suites Nashville, Holiday Inn Express Tallahassee, and 50 Varick Street, deteriorate further or more loans than expected default at or prior to maturity. Downgrades to the 'Bsf' category are likely with higher-than-expected losses from continued underperformance of the FLOCs, particularly the aforementioned loans with deteriorating performance and with greater certainty of losses on the specially serviced loans or other FLOCs. Downgrades to distressed ratings would occur should additional loans transfer to special servicing or default, as losses are realized or become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes rated in the 'AAsf' and 'Asf' categories may be possible with significantly increased CE from paydowns and/or defeasance, coupled with stable to improved pool-level loss expectations and improved performance on the FLOCs. Upgrades to the 'BBBsf' and 'Bsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration. Upgrades to distressed ratings are not expected, but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. VENTURE 42: S&P Lowers Class E Notes Rating to 'B (sf)' ------------------------------------------------------- S&P Global Ratings lowered its rating on the class E debt and affirmed its rating on the class D debt from Venture 42 CLO Ltd., a broadly syndicated U.S. CLO managed by MJX Asset Management LLC, and removed both the ratings from CreditWatch, where S&P had placed them with negative implications on May 6, 2026. S&P also affirmed its ratings on the class X, A-1A, A-1B, A-2, B, and C debt from the same transaction. The rating actions follow S&P's review of the transaction's performance using data from the May 2026 trustee report. Following are the changes in the overcollateralization (O/C) ratios in the May 2026 trustee report compared with those in the April 2021 trustee report when the CLO went effective: -- The class A/B O/C ratio declined to 127.38% from 131.72%. -- The class C O/C ratio declined to 118.06% from 122.08%. -- The class D O/C ratio declined to 110.01% from 113.76%. -- The class E O/C ratio declined to 105.51% from 109.11%. The decline in the O/C levels is primarily due to par losses. The downgrade reflects the decline in credit support available to the class E debt, which, in turn, affected the cash flow that was no longer passing at its previous rating level. The affirmations reflect adequate credit support at the current rating levels, though any further deterioration in the credit support available to the debt could result in changes in the ratings. S&P said, "We also note that the results of the cash flow analysis indicate higher ratings on the class B and C debt. However, our rating actions consider the decline in all O/Cs, increase in defaults, and uptick in 'CCC' exposure, and, hence, we prefer to have some cushion to offset the potential for further negative credit migration in the underlying collateral." Additionally, although the deal has entered its amortizing phase, the transaction has not yet seen any principal paydowns to the rated tranches. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults and recoveries upon default under various interest rates and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors, as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with this rating action. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Rating Lowered And Removed From CreditWatch Venture 42 CLO Ltd. Class E (deferrable) to 'B (sf)' from 'BB- (sf)/Watch Neg' Rating Affirmed And Removed From CreditWatch Venture 42 CLO Ltd. Class D (deferrable) to 'BBB- (sf)' from 'BBB- (sf)/Watch Neg' Ratings Affirmed Venture 42 CLO Ltd. Class X: AAA (sf) Class A-1A: AAA (sf) Class A-1B: AAA (sf) Class A-2: AAA (sf) Class B: AA (sf) Class C (deferrable): A (sf) VOYA CLO 2018-2: S&P Affirms 'B+ (sf)' Rating on Class E Notes -------------------------------------------------------------- S&P Global Ratings raised its ratings on the class B-1, B-2, C-1, C-2, and D debt from Voya CLO 2018-2 Ltd. S&P also removed the ratings on the class B-1, B-2, C-1, and C-2 debt from CreditWatch, where it had placed them with positive implications in May 2026. At the same time, S&P lowered its rating on the class F debt and removed it from CreditWatch with negative implications. S&P affirmed its ratings on the class A-1 and E debt from the same transaction and removed the rating on the class E debt from CreditWatch negative. The rating actions follow S&P's review of the transaction's performance using data from the May 2026 trustee report. Although the same portfolio backs all the tranches, there can be circumstances such as this one, where the ratings on the tranches may move in opposite directions due to support changes in the portfolio. This transaction is experiencing opposing rating movements because it experienced both principal paydowns, which increased the senior credit support, and principal losses, which decreased the junior credit support. The transaction has paid down $222.33 million in collective paydowns to the class A-1 debt since S&P's July 2024 rating actions. Following are the changes in the reported overcollateralization (O/C) ratios since the June 2024 trustee report, which we had used for our previous rating actions: -- The class A/B O/C ratio improved to 178.52% from 134.03%. -- The class C O/C ratio improved to 140.48% from 121.70%. -- The class D O/C ratio improved to 115.81% from 111.44%. -- The class E O/C ratio declined to 104.35% from 105.87%. The senior O/C ratios experienced a positive movement due to the lower balances of the senior notes, while the junior O/C ratios declined due to a combination of par losses and haircuts or lower-quality assets. However, despite the slightly larger concentrations in the 'CCC' category and defaulted collateral, the transaction, especially the senior tranches, has also benefited from a drop in the weighted average life due to the underlying collateral's seasoning, with 2.91 years being reported as of the May 2026 trustee report compared with 3.99 years reported at the time of S&P's July 2024 rating actions. The upgrades reflect the improved credit support available to the debt at the prior rating levels. The lowered rating reflects the deteriorated credit quality of the underlying portfolio and the decrease in credit support available to the class F debt. In addition, the cash flows were failing at their respective prior ratings due to an increase in scenario default rates (SDRs) and a decrease in the break-even default rates (BDRs). While the SDRs increased due to an increase in exposure to 'CCC' category assets, the BDRs declined due to an increase in defaults and par losses. Two other factors contributed to the failing cash flow runs: a decline in the weighted average spread and a decrease in the weighted average recovery rates for the portfolio. As market conditions evolve, the spread between the interest income generated from the underlying collateral and the cost of financing has narrowed, reducing the excess cash flow available to support these junior tranches. Additionally, the weighted average recovery rates for the portfolio have decreased, further contributing to the downward pressure on the ratings. Lower recovery expectations imply that in the event of defaults, the value recovered from the assets will be less than the one previously estimated. The rating on the class F debt is constrained at 'CCC+(sf)' by the application of the largest obligor default test, which is a supplemental stress test included as part of our corporate collateralized debt obligation criteria. The affirmed ratings reflect adequate credit support at the current rating levels, though any deterioration in the credit support available to the debt could result in further changes in the ratings. S&P said, "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." Ratings Raised And Removed From CreditWatch Voya CLO 2018-2 Ltd. Class B-1 to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class B-2 to 'AAA (sf)' from 'AA (sf)/Watch Pos' Class C-1 to 'AA (sf)' from 'A (sf)/Watch Pos' Class C-2 to 'AA (sf)' from 'A (sf)/Watch Pos' Rating Raised Voya CLO 2018-2 Ltd. Class D to 'BBB (sf)' from 'BBB- (sf)' Rating Lowered And Removed From CreditWatch Voya CLO 2018-2 Ltd. Class F to 'CCC+ (sf)' from 'B- (sf)/Watch Neg' Rating Affirmed And Removed From CreditWatch Voya CLO 2018-2 Ltd. Class E to 'B+ (sf)' from 'B+ (sf)/Watch Neg' Rating Affirmed Voya CLO 2018-2 Ltd. Class A-1: AAA (sf) WELLS FARGO 2015-C31: Fitch Lowers Rating on Class F Notes to 'Csf' ------------------------------------------------------------------- Fitch Ratings has downgraded one class and affirmed five classes of Wells Fargo Commercial Mortgage Trust 2015-C31 commercial mortgage pass-through certificates (WFCM 2015-C31). Rating Outlooks remain Stable for classes C, PEX, D, and X-D. Fitch has also downgraded four distressed classes and affirmed six classes of JPMDB Commercial Mortgage Securities Trust 2016-C2 (JPMDB 2016-C2). Rating Outlooks remain Negative for classes X-A, X-B, A-S, and B and Stable for A-4. Entity/Debt Rating Prior ----------- ------ ----- JPMDB 2016-C2 A-4 46590LAT9 LT AAAsf Affirmed AAAsf A-S 46590LAX0 LT Asf Affirmed Asf B 46590LAY8 LT BBsf Affirmed BBsf C 46590LAZ5 LT CCCsf Downgrade Bsf D 46590LAE2 LT Csf Downgrade CCCsf E 46590LAG7 LT Csf Downgrade CCsf F 46590LAJ1 LT Csf Affirmed Csf X-A 46590LAV4 LT Asf Affirmed Asf X-B 46590LAW2 LT BBsf Affirmed BBsf X-C 46590LAC6 LT Csf Downgrade CCCsf WFCM 2015-C31 C 94989WAZ0 LT A+sf Affirmed A+sf D 94989WBB2 LT BBsf Affirmed BBsf E 94989WAD9 LT CCCsf Affirmed CCCsf F 94989WAF4 LT Csf Downgrade CCCsf PEX 94989WBA4 LT A+sf Affirmed A+sf X-D 94989WAX5 LT BBsf Affirmed BBsf KEY RATING DRIVERS Performance and 'Bsf' Loss Expectations: WFCM 2015-C31: Deal-level 'Bsf' rating case losses are 36.8% based on the outstanding balance compared to 9.8% at the prior rating action. Based on the original pool balance and including realized losses, deal-level 'Bsf' rating case loss expectations are 5.7% compared to 6.8% at the prior rating action. JPMDB 2016-C2: Deal-level 'Bsf' rating case losses are 33.5% based on the outstanding balance compared to 15.9% at the prior rating action. Based on the original pool balance and including realized losses, deal-level 'Bsf' rating case loss expectations are 15.6% compared to 12.3% at the prior rating action. Both transactions are concentrated with five loans remaining in the WFCM 2015-C31 transaction and nine loans in JPMDB 2016-C2. Fitch Loans of Concern (FLOCs) comprise four loans (59.1% of the pool) in the WFCM 2015-C31 transaction, all in special servicing, and eight loans (98.7%) in JPMDB 2016-C2, with seven loans (84.6%) in special servicing. The downgrades in the WFCM 2015-C31 transaction reflect realized losses from the writedown of the Sheraton Lincoln Harbor Hotel loan following its purchase and assumption, along with increasing loss expectations for the CityPlace I loan. The revision of the Outlooks to Stable in WFCM 2015-C31 reflects sufficient credit enhancement (CE) relative to expected pool-level loss and the expectation that continued amortization will result in the imminent repayment of the senior class. The downgrades in the JPMDB 2016-C2 transaction reflect greater certainty of loss anticipated from specially serviced loans, most notably from the 100 East Pratt loan, which continues to deteriorate and is the largest contributor to loss in the transaction. The Negative Outlooks in JPMDB 2016-C2 reflect the potential for further downgrades should performance of the office FLOC 100 East Pratt (17.7%) deteriorates further and without a viable workout that preserves value and recoverability for loans recently transferred to special servicing, Quaker Bridge Mall (26.7%) and Four Penn Center (14.1%). Due to the elevated pool concentration and adverse selection in both transactions, Fitch performed a look-through analysis to determine the remaining loans' expected recoveries and losses and to assess the outstanding classes' ratings relative to available credit enhancement. Higher probabilities of default were assigned to loans reflecting performance declines and/or rollover concerns. Fitch also considered the potential for interest shortfalls in JPMDB 2016-C2 due to the concentration of defaulted and specially serviced assets past maturity, which could limit advancing if deemed nonrecoverable. Largest Contributors to Loss: The largest increase in loss expectations since the prior rating action and the largest contributor to overall loss in WFCM 2015-C31 is the CityPlace I loan (37.4%), which is secured by an 884,366-sf urban office property in Hartford, CT. The loan transferred to special servicing in October 2023 due to maturity default and remains in special servicing. Performance has deteriorated, with occupancy declining to 46% at YE 2025 from 86% at YE 2023, contributing to negative cashflow in 2025 with a reported YE 2025 NOI DSCR of -0.48x. The property also faces near-term rollover risk, with 30% of NRA expiring within one year and an additional 8% expiring within two years. Fitch's 'Bsf' rating case loss of 61.8% (prior to concentration adjustments) reflects a 30% stress to the most recently reported valuation equating to a stressed value of $40 psf. The second-largest contributor to overall loss in WFCM 2015-C31 is the Sheraton Lincoln Harbor Hotel loan (40.8%), which is secured by a 358-key full-service hotel in Weehawken, NJ. The loan transferred to special servicing in January 2021 following payment default. In August 2025, a property sale and loan assumption was completed in conjunction with a modification of the loan. The loan term was extended through October 2027, and the loan remains current as of the May 2025 remittance. As a result of the sale/assumption, the unpaid principal balance was written down to the purchase price of $65.5 million with the remaining balance recognized as a realized loss to the trust. While hotel performance has improved, with YE 2025 NOI increasing 45% year-over-year, NOI remains 19% below the originator's underwritten expectations. As of YE 2025, NOI DSCR was 2.26x an improvement from 1.27x as of YE 2024. Fitch's 'Bsf' rating case loss of 16.9% (prior to concentration adjustments) reflects a 20% stress to the most recent appraisal value which equates to a stressed value of $160,223 per key. The third-largest contributor to overall loss in WFCM 2015-C31 is the Patrick Henry Mall loan (17.4%), which is secured by a 432,401-sf enclosed regional mall in Newport News, VA. The loan transferred to special servicing in March 2024 following the bankruptcy of the guarantor, returned to the master servicer in October 2024, and has subsequently transferred back to special servicing in March 2025 for imminent default. As of September 2025, overall mall occupancy was 98% with reported NOI DSCR of 1.50x. The YTD September 2025 annualized NOI remains in-line with YE 2023 but is 18% below the originator's underwritten NOI. The property faces elevated rollover, with 24% of NRA expiring within one year and an additional 24% within two years. The borrower is negotiating a lease extension with Dick's Sporting Goods, which occupies 11.6% of NRA. Fitch's 'Bsf' rating case loss of 26.2% (prior to concentration adjustments) reflects a discount to the most recent appraisal value which equates to a stressed value of $129 psf. The largest increase in loss expectations since the prior rating action and the largest contributor to overall loss in JPMDB 2016-C2 is the 100 East Pratt loan (17.7%), which is secured by a 662,708-sf urban office building in Baltimore, MD. The loan transferred to special servicing in May 2025 due to imminent monetary default following the departure of the property's largest tenant. The borrower has indicated it will not fund operating shortfalls, and a receiver was appointed in February 2026. Occupancy has declined substantially following the departure of the largest tenant, T. Rowe Price (67% of NRA), which exercised an early termination option and vacated in 2025. As a result of the tenant departure, overall occupancy has declined to 20.0% as of YE 2025, down from 90.0% at YE 2024 with NOI decreasing 61% in the same period. As of YE 2025, NOI DSCR was 1.61x as compared to 2.25x as of YE 2024. Total reserves collected equate to $43.0 million ($65 psf) as a result of a cash trap and termination fees. The largest remaining tenant, PricewaterhouseCoopers LLP (5.53% of NRA), has a lease expiration in July 2026, creating additional near-term rollover risk. According to CoStar as of 1Q26, the submarket vacancy rate was 21.5% with average market rents of $23.34 psf compared to average in-place rents of $36.47, indicating above-market rents on the remaining tenancy and further re-leasing risk. Fitch's 'Bsf' rating case loss of 65.2% (prior to concentration add-ons) reflects the most recent appraisal value with a 20% partial credit applied for in-place reserves. While reserves may be deployed to support leasing and carry costs, they are not expected to fully mitigate losses given the substantial vacancy, below-stabilized cash flow, and significant capital likely required to re-tenant the property. The second-largest increase in loss expectations since the prior rating action and the second- largest contributor to overall loss in JPMDB 2016-C2 is the Quaker Bridge Mall loan (26.7%), which is secured by a 357,221-sf regional mall located in Lawrenceville, NJ. The non-collateral anchor tenant Lord & Taylor closed in February 2021, and non-collateral anchor tenant Sears closed in 2018, leaving two remaining anchors: JCPenney and Macy's. The previous largest collateral tenant, Forever 21 (7.5% of NRA; lease expiration in January 2026), vacated in early 2025, which reduced occupancy to 72% as of YE 2025. The three largest remaining tenants are Old Navy (4.9%; March 2030), H&M (4.9%; January 2028), and Victoria's Secret (3.4%; January 2030). The NOI DSCR for the full-term interest-only loan as of YE 2025 was 1.85x, compared with 2.06x at YE 2024, 2.08x at YE 2023, 2.00x at YE 2022, and 2.22x at YE 2021. The property also faces rollover risk, with 22% of NRA expiring within one year and an additional 10% within two years. Fitch's 'Bsf' rating case loss of 37.0% (prior to concentration adjustments) reflects a 13% cap rate, 10% stress to the YE 2025 NOI and a higher probability of default to reflect the recent maturity default and transfer to special servicing. The third largest contributor to overall loss in JPMDB 2016-C2 is the Williamsburg Premium Outlets loan (16.0%), which is secured by a 522,133-sf open-air outlet center in Williamsburg, VA. The loan transferred to special servicing in December 2025 due to imminent default and subsequently defaulted at maturity in February 2026. A loan modification was completed in January 2026 which extended the maturity to February 2029, converted the loan to an amortizing structure and instituted a cash trap. The borrower contributed new equity to the transaction and funded all costs and expenses to close the modification. As of YE 2025, occupancy was 80% with NOI DSCR of 2.25x which compares with occupancy of 79% and NOI DSCR of 2.36x as of YE 2024. YE 2025 NOI was down 4.9% year-over-year and remains 15.4% below the originator's underwritten expectations at issuance. Near-term rollover includes 32% of the NRA expiring within one year and an additional 18% within two years. Fitch's 'Bsf' rating case loss of 11.4% (prior to concentration adjustments) reflects an 11% cap rate and a 10% stress to the YE 2025 NOI. Increased CE: As of the May 2026 remittance, the aggregate pool balances of the WFCM 2015-C31 and JPMDB 2016-C2 transactions have been reduced by approximately 87% and 65%, respectively, since issuance. The WFCM 2015-C31 transaction includes no loans that are defeased, and JPMDB 2016-C2 has one (1.3%) defeased loan. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade The Negative Outlooks reflect possible downgrades with further declines in performance that could result in higher expected losses on FLOCs. If expected losses do increase, downgrades to these classes are likely. Downgrades of the 'AAAsf' rated classes with Stable Outlooks are not expected, given their position in the capital structure and the expectation of continued amortization and loan repayments. However, downgrades may occur if deal-level losses rise materially and/or interest shortfalls occur or are anticipated. Downgrades to the 'Asf' rated category in WFCM 2015-C31 with Stable Outlooks are not expected due to the position in the capital structure and increased credit enhancement from continued amortization. However, downgrades may occur if deal-level losses increase significantly and/or recoveries on the specially serviced loans are lower than expected. Notable FLOCs in the WFCM 2015-C31 transaction include CityPlace I, Sheraton Lincoln Harbor Hotel and Patrick Henry Mall. Downgrades to classes in the 'Asf' rated category, particularly those with Negative Outlooks in JPMDB 2016-C2, may occur should performance of the FLOCs deteriorate further, expected losses increase or if more loans than expected default during the term and/or at or prior to maturity. These FLOCs in the JPMDB 2016-C2 transaction include 100 East Pratt, Quaker Bridge Mall, and Four Penn Center in JPMDB 2016-C2. Downgrades to classes rated in the 'BBsf' rated category could occur with higher-than-expected losses from continued underperformance of the aforementioned FLOCs and with greater certainty of losses on the specially serviced loans in both transactions. Downgrades to distressed ratings would occur as losses become more certain and/or as losses are incurred. In JPMDB 2016-C2, downgrades may also occur if interest shortfalls become more likely as the pool becomes increasingly concentrated with defaulted or specially serviced assets past maturity. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades to classes in the 'Asf' rated category are possible with significantly increased CE from paydowns, coupled with stable to improved pool-level loss expectations and performance stabilization or resolution of the specially serviced loans, including CityPlace I, Sheraton Lincoln Harbor Hotel and Patrick Henry Mall in WFCM 2015-C31 and 100 East Pratt, Quaker Bridge Mall, and Four Penn Center in JPMDB 2016-C2. Classes would not be upgraded above 'AA+sf' if there is likelihood for interest shortfalls. Upgrades to classes in the 'BBsf' rated category are not likely due to the elevated concentration and adverse selection of the pool and would only occur with sustained improvement and stabilization of the FLOCs and expectation of recovery of remaining loans in the pool. Upgrades to distressed ratings are not expected but possible with better-than-expected recoveries on specially serviced loans or significantly higher values on FLOCs. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. WELLS FARGO 2018-C48: Fitch Affirms 'B-sf' Rating on Cl. G-RR Certs ------------------------------------------------------------------- Fitch Ratings has affirmed 13 classes of Wells Fargo Commercial Mortgage (WFCM) Trust 2018-C48 commercial mortgage pass-through certificates. Fitch also affirmed the ratings for the MOA 2020-WC48 E Argentic horizontal risk retention pass through certificate (2018 C48 III Trust). The Rating Outlooks on class D and X-D have been revised to Stable from Negative. Entity/Debt Rating Prior ----------- ------ ----- WFCM 2018-C48 A-4 95001RAW9 LT AAAsf Affirmed AAAsf A-5 95001RAX7 LT AAAsf Affirmed AAAsf A-S 95001RBA6 LT AAAsf Affirmed AAAsf A-SB 95001RAV1 LT AAAsf Affirmed AAAsf B 95001RBB4 LT AA-sf Affirmed AA-sf C 95001RBC2 LT A-sf Affirmed A-sf D 95001RAC3 LT BBB-sf Affirmed BBB-sf E-RR 95001RAE9 LT BBB-sf Affirmed BBB-sf F-RR 95001RAG4 LT BB-sf Affirmed BB-sf G-RR 95001RAJ8 LT B-sf Affirmed B-sf X-A 95001RAY5 LT AAAsf Affirmed AAAsf X-B 95001RAZ2 LT AA-sf Affirmed AA-sf X-D 95001RAA7 LT BBB-sf Affirmed BBB-sf MOA 2020-WC48 E E-RR 90216GAA3 LT BBB-sf Affirmed BBB-sf KEY RATING DRIVERS Performance and 'B' Loss Expectations: Deal-level 'Bsf' rating case losses have increased to 6.2% from 5.9% at Fitch's last rating action. Fitch Loans of Concerns (FLOCs) comprise 9 loans (21.4%), including two specially serviced loans (7.5%). The affirmations and Outlook revisions reflect higher credit enhancement from paydown and generally stable pool performance and loss expectations since Fitch's prior rating action. The Negative Outlooks indicate potential future downgrades if Fitch Loans of Concern (FLOC) performance deteriorates further, particularly for the Starwood Hotel Portfolio (4.2%), 1000 Windward Concourse (4.2%), and 1600 Terrill Mill Road (3.3%) loans. Largest Contributors to Loss: The largest contributor to expected pool loss is the 1600 Terrell Mill Road (3.3%), which is secured by a 251,710-sf office property in Marietta, GA. The loan transferred to special servicing in May 2026 due to imminent default. As of September 2025, occupancy was 59.0%. The decline was primarily driven by the largest tenant, Quintiles, reducing its leased space to 32.2% of NRA from 58.2%. In addition, the second-largest tenant, First Data Corporation (28.3% of NRA), is dark, resulting in physical occupancy of 32.2%. Fitch's 'Bsf' case loss of 40.3% (before concentration add-ons) reflects a 10.0% capitalization rate and a 25.0% stress applied to YE 2024 NOI to account for the decline in occupancy. The second largest contributor to expected loss is the Starwood Hotel Portfolio loan (4.2%), which is secured by a portfolio comprised of 22 hotels spread across 12 states. The largest state by key is Missouri (23.3% of keys), followed by Kansas (13.6% of keys) and Illinois (13.0% of keys). The portfolio includes four full-service hotels, six select-service hotels, five extended stay hotels, and seven limited-service hotels and operates under three brands including 15 properties under Marriott, five properties under Hilton, and two properties under the IHG brand family. While portfolio performance saw incremental stabilization following the pandemic, recent performance has trended negative. The YE 2024 NOI is 57.0% below YE 2019 and 31.0% below the Fitch issuance NCF. Fitch's 'Bsf' case loss of 25.2% (prior to concentration add-ons) reflects a 11.5% cap rate and TTM June 2025 NOI. The third largest contributor to pool loss is the 1000 Windward Concourse loan (4.2%), which is secured by a 251,425-sf suburban office located 25 miles north of downtown Atlanta. The loan is a FLOC because of declining occupancy and a low DSCR. Occupancy began to fall in 2020 after the largest tenant, Travelers Indemnity Company, reduced its footprint to approximately 35% of NRA from 56% at issuance. Occupancy declined further following Kinder Morgan's departure at its December 2025 lease expiration; the tenant had occupied 18% of NRA. As of March 2026, occupancy was 43%. The servicer reported YE 2025 NOI DSCR was 1.10x compared with 1.18x at YE 2024 and 1.68x at YE 2023. Fitch's 'Bsf' case loss of 26% (prior to concentration add-ons) reflects a 10% cap rate, a 15% stress to the YE 2025 NOI to reflect the occupancy decline and increased the probability of default. Fitch increased the probability of default due to the term default risk. Credit Enhancement: As of the May 2026 distribution date, the aggregate pool balance fell to $718.6 million from $833.9 million at issuance. No realized losses have occurred to date. Seven loans, representing 9.1% of the pool balance, are defeased. RATING SENSITIVITIES Factors that Could, Individually or Collectively, Lead to Negative Rating Action/Downgrade Downgrades to the 'AAAsf' rated classes are not expected due to their high CE, senior position in the capital structure and continued expected amortization, but may occur if deal-level losses increase significantly and/or interest shortfalls occur or are expected to occur. Downgrades of classes rated in the 'AAsf' and 'Asf' categories would occur if more loans than expected experience performance deterioration or default at or prior to maturity and/or further performance deterioration of the FLOCs, including Starwood Hotel Portfolio, 1000 Windward Concourse, 1600 Terrill Mill Road, Home Depot Technology Center and Liberty Portfolio. Downgrades of classes rated in the 'BBBsf' categories would occur should loss expectations increase on the FLOCs, additional loans transfer to special servicing and/or with a greater certainty of losses. Downgrades of classes rated in the 'BBsf' and 'Bsf' category would occur as losses become more certain. Factors that Could, Individually or Collectively, Lead to Positive Rating Action/Upgrade Upgrades of classes rated in the 'AAsf' and 'Asf' categories may occur with significant improvement in CE and, or defeasance coupled with stable-to-improved pool-level loss expectations and improved FLOC performance. Upgrades to the 'BBBsf' category rated classes would be limited based on sensitivity to concentrations or the potential for future concentration and would only occur with sustained improved performance of the FLOCs. Upgrades to 'BBsf' and 'Bsf' category rated classes are not likely until the later years in a transaction and only if the performance of the remaining pool is stable and there is sufficient CE to the classes due to paydown and defeasance. USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10 Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action. PUBLIC RATINGS WITH CREDIT LINKAGE TO OTHER RATINGS MOA 2020-WC48 E ESG Considerations The highest level of ESG credit relevance is a score of '3', unless otherwise disclosed in this section. A score of '3' means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. Fitch's ESG Relevance Scores are not inputs in the rating process; they are an observation on the relevance and materiality of ESG factors in the rating decision. [] Moody's Upgrades Ratings on 4 Bonds from 2 US RMBS Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds from two US residential mortgage-backed transactions (RMBS). The collateral backing these deals consists of prime and non-prime quality, non-qualified (non-QM) and investor residential mortgages issued by two RMBS deals. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. Issuer: OBX 2025-NQM14 Trust Cl. A-3, Upgraded to Aa2 (sf); previously on Aug 8, 2025 Definitive Rating Assigned Aa3 (sf) Issuer: PRPM 2025-NQM3 Trust Cl. A-3, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-1, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. M-1, Upgraded to Baa1 (sf); previously on Jul 22, 2025 Definitive Rating Assigned Baa2 (sf) RATINGS RATIONALE The rating actions reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with no cumulative losses for each transaction and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.18x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in these deals because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement, and other qualitative considerations. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 4 Bonds from 3 US MILN Deals ----------------------------------------------------------- Moody's Ratings has upgraded the ratings of four bonds from three US mortgage insurance-linked note (MILN) transactions issued by several issuers. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies issued by the ceding insurer on a portfolio of residential mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Bellemeade Re 2022-1 Ltd Cl. M-2, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Issuer: Bellemeade Re 2022-2 Ltd. Cl. M-2, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba1 (sf) Issuer: Radnor Re 2024-1 Ltd. Cl. M-1B, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Ba3 (sf) Cl. M-1C, Upgraded to Ba3 (sf); previously on Aug 5, 2025 Upgraded to B2 (sf) RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Each of the transactions Moody's reviewed continues to display strong collateral performance, with cumulative losses for each transaction under .11% and a small percentage of loans in delinquency. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.5x for the tranches upgraded. Moody's analysis also considered the relatively quick amortization of the class M-1B from Radnor Re 2024-1 Ltd. Moody's expects this bond will be paid down in the next several months. Principal Methodology The principal methodology used in these ratings was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 41 Bonds from 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 41 bonds from seven US residential mortgage-backed transactions (RMBS), backed by prime jumbo and agency-eligible mortgage loans. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: Morgan Stanley Residential Mortgage Loan Trust 2024-INV4 Cl. A-10, Upgraded to Aaa (sf); previously on Oct 29, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-10-IO*, Upgraded to Aaa (sf); previously on Oct 29, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-11, Upgraded to Aaa (sf); previously on Oct 29, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-11-IO*, Upgraded to Aaa (sf); previously on Oct 29, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-12, Upgraded to Aaa (sf); previously on Oct 29, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-12-IO*, Upgraded to Aaa (sf); previously on Oct 29, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to A1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to A1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to A1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-A, Upgraded to Baa1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-X*, Upgraded to Baa1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-4-A, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-4-X*, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Oct 29, 2024 Definitive Rating Assigned B3 (sf) Issuer: Provident Funding Mortgage Trust 2021-2 Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 26, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 26, 2024 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Jul 1, 2025 Upgraded to Baa2 (sf) Issuer: Provident Funding Mortgage Trust 2021-J1 Cl. B-1, Upgraded to Aaa (sf); previously on Aug 21, 2025 Upgraded to Aa1 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 15, 2024 Upgraded to Baa3 (sf) Issuer: Provident Funding Mortgage Trust 2024-1 Cl. B-2, Upgraded to A1 (sf); previously on Nov 7, 2024 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Nov 7, 2024 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 21, 2025 Upgraded to B1 (sf) Issuer: Provident Funding Mortgage Trust 2025-1 Cl. B-2, Upgraded to A1 (sf); previously on Feb 20, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Feb 20, 2025 Definitive Rating Assigned Baa2 (sf) Issuer: Provident Funding Mortgage Trust 2025-2 Cl. A-13, Upgraded to Aaa (sf); previously on Jun 12, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-14, Upgraded to Aaa (sf); previously on Jun 12, 2025 Definitive Rating Assigned Aa1 (sf) Cl. A-X-14*, Upgraded to Aaa (sf); previously on Jun 12, 2025 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 12, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Jun 12, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Jun 12, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jun 12, 2025 Definitive Rating Assigned B1 (sf) Issuer: Provident Funding Mortgage Trust 2025-3 Cl. B-2, Upgraded to A1 (sf); previously on Jul 29, 2025 Definitive Rating Assigned A2 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Jul 29, 2025 Definitive Rating Assigned Baa2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jul 29, 2025 Definitive Rating Assigned B2 (sf) *Reflects Interest-Only Classes. RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under 0.01% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, 1.43x for the non-exchangeable tranches upgraded. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the other rated classes in these deals because the expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 51 Bonds from 10 US RMBS Deals ------------------------------------------------------------- Moody's Ratings has upgraded the ratings of 51 bonds from ten US residential mortgage-backed transactions (RMBS) backed by prime jumbo and agency eligible mortgage loans. A comprehensive review of all credit ratings for the respective transaction(s) has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2021-GR1 Cl. B-1, Upgraded to Aaa (sf); previously on Mar 24, 2025 Upgraded to Aa1 (sf) Cl. B-1-A, Upgraded to Aaa (sf); previously on Mar 24, 2025 Upgraded to Aa1 (sf) Cl. B-1-X*, Upgraded to Aaa (sf); previously on Mar 24, 2025 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-2-A, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-2-X*, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Mar 24, 2025 Upgraded to A2 (sf) Cl. B-3-A, Upgraded to A1 (sf); previously on Mar 24, 2025 Upgraded to A2 (sf) Cl. B-3-X*, Upgraded to A1 (sf); previously on Mar 24, 2025 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Mar 24, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Mar 24, 2025 Upgraded to Ba1 (sf) Cl. B-X*, Upgraded to Aa3 (sf); previously on Mar 24, 2025 Upgraded to A1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2021-MM1 Cl. B-5, Upgraded to Baa3 (sf); previously on Dec 2, 2024 Upgraded to Ba1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-GR2 Cl. B-2, Upgraded to Aa3 (sf); previously on Jul 9, 2025 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Aug 21, 2025 Upgraded to A3 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Jul 9, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba2 (sf); previously on Jul 9, 2025 Upgraded to Ba3 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-LTV2 Cl. B-2, Upgraded to Aa3 (sf); previously on Dec 12, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A2 (sf); previously on Dec 12, 2024 Upgraded to Baa1 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 21, 2025 Upgraded to B2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ1 Cl. B-2, Upgraded to Aa3 (sf); previously on Dec 12, 2024 Upgraded to A1 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba3 (sf); previously on Aug 21, 2025 Upgraded to B2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ2 Cl. B-3, Upgraded to A3 (sf); previously on Jun 10, 2025 Upgraded to Baa1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Issuer: GS Mortgage-Backed Securities Trust 2022-PJ6 Cl. B-3, Upgraded to A2 (sf); previously on Aug 21, 2025 Upgraded to A3 (sf) Issuer: Rate Mortgage Trust 2021-J2 Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 2, 2024 Upgraded to A1 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Aug 2, 2024 Upgraded to A1 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Aug 2, 2024 Upgraded to A1 (sf) Issuer: RATE Mortgage Trust 2024-J3 Cl. A-19, Upgraded to Aaa (sf); previously on Oct 4, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-20, Upgraded to Aaa (sf); previously on Oct 4, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-21, Upgraded to Aaa (sf); previously on Oct 4, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-20*, Upgraded to Aaa (sf); previously on Oct 4, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-21*, Upgraded to Aaa (sf); previously on Oct 4, 2024 Definitive Rating Assigned Aa1 (sf) Cl. A-X-22*, Upgraded to Aaa (sf); previously on Oct 4, 2024 Definitive Rating Assigned Aa1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Oct 4, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Oct 4, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 28, 2025 Upgraded to A2 (sf) Cl. B-2A, Upgraded to Aa3 (sf); previously on Aug 28, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Oct 4, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 4, 2024 Definitive Rating Assigned Ba1 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Oct 4, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-X-1*, Upgraded to Aa1 (sf); previously on Oct 4, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-X-2*, Upgraded to Aa3 (sf); previously on Aug 28, 2025 Upgraded to A2 (sf) Issuer: RATE Mortgage Trust 2025-J2 Cl. B-1, Upgraded to Aa2 (sf); previously on Jun 26, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-1A, Upgraded to Aa2 (sf); previously on Jun 26, 2025 Definitive Rating Assigned Aa3 (sf) Cl. B-3, Upgraded to Baa2 (sf); previously on Jun 26, 2025 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Jun 26, 2025 Definitive Rating Assigned B3 (sf) Cl. B-X-1*, Upgraded to Aa2 (sf); previously on Jun 26, 2025 Definitive Rating Assigned Aa3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance and Moody's updated loss expectations on the underlying pools. These transactions Moody's reviewed continue to display strong collateral performance, with cumulative losses for each transaction under 0.15% and a small percentage of loans in delinquencies. In addition, enhancement levels for the tranches in these transactions have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, by 1.45x for the non-exchangeable tranches upgraded. Moody's analysis also considered the existence of historical interest shortfalls for some of the bonds. In addition, while Moody's analysis applied a greater probability of default stress on loans that have experienced modifications, Moody's decreased that stress to the extent the modifications were in the form of temporary payment relief. No actions were taken on the remaining rated classes in these deals because the expected losses on the bonds remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds and/or pools. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] Moody's Upgrades Ratings on 65 Bonds from 7 US RMBS Deals ------------------------------------------------------------ Moody's Ratings has upgraded the ratings of 65 bonds from seven US residential mortgage-backed transactions (RMBS), backed by, prime jumbo and agency eligible mortgages. A comprehensive review of all credit ratings for the respective transactions has been conducted during a rating committee. The complete rating actions are as follows: Issuer: GS Mortgage-Backed Securities Trust 2024-INV1 Cl. B, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A3 (sf) Cl. B-1, Upgraded to Aa2 (sf); previously on Nov 1, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-A, Upgraded to Aa2 (sf); previously on Nov 1, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-1-X*, Upgraded to Aa2 (sf); previously on Nov 1, 2024 Definitive Rating Assigned Aa3 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Nov 1, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Nov 1, 2024 Definitive Rating Assigned A3 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Nov 1, 2024 Definitive Rating Assigned A3 (sf) Cl. B-3, Upgraded to Baa1 (sf); previously on Nov 1, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-A, Upgraded to Baa1 (sf); previously on Nov 1, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-3-X*, Upgraded to Baa1 (sf); previously on Nov 1, 2024 Definitive Rating Assigned Baa3 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Nov 1, 2024 Definitive Rating Assigned Ba3 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Nov 1, 2024 Definitive Rating Assigned B3 (sf) Cl. B-X*, Upgraded to A1 (sf); previously on Nov 1, 2024 Definitive Rating Assigned Baa1 (sf) Issuer: GS Mortgage-Backed Securities Trust 2024-PJ9 Cl. B, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A1 (sf) Cl. B-1, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-1-A, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-1-X*, Upgraded to Aa1 (sf); previously on Aug 21, 2025 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-2-A, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-2-X*, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-3, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-3-A, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-3-X*, Upgraded to A3 (sf); previously on Aug 21, 2025 Upgraded to Baa2 (sf) Cl. B-4, Upgraded to Baa3 (sf); previously on Oct 31, 2024 Definitive Rating Assigned Ba2 (sf) Cl. B-5, Upgraded to B1 (sf); previously on Oct 31, 2024 Definitive Rating Assigned B3 (sf) Cl. B-X*, Upgraded to Aa3 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Issuer: OBX 2021-INV2 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Jan 8, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jan 8, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Nov 26, 2024 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Nov 26, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Nov 26, 2024 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-IO1*, Upgraded to Aa1 (sf); previously on Jan 8, 2024 Upgraded to Aa2 (sf) Cl. B-IO2*, Upgraded to Aa2 (sf); previously on Nov 26, 2024 Upgraded to Aa3 (sf) Cl. B-IO3*, Upgraded to A1 (sf); previously on Nov 26, 2024 Upgraded to A2 (sf) Issuer: OBX 2022-INV1 Trust Cl. B-1, Upgraded to Aaa (sf); previously on Jun 28, 2024 Upgraded to Aa1 (sf) Cl. B-1A, Upgraded to Aaa (sf); previously on Jun 28, 2024 Upgraded to Aa1 (sf) Cl. B-2, Upgraded to Aa1 (sf); previously on Jun 28, 2024 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa1 (sf); previously on Jun 28, 2024 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa1 (sf); previously on Apr 1, 2025 Upgraded to Baa2 (sf) Cl. B-5, Upgraded to Baa3 (sf); previously on Aug 21, 2025 Upgraded to Ba1 (sf) Cl. B-IO1*, Upgraded to Aaa (sf); previously on Jun 28, 2024 Upgraded to Aa1 (sf) Cl. B-IO2*, Upgraded to Aa1 (sf); previously on Jun 28, 2024 Upgraded to Aa3 (sf) Cl. B-IO3*, Upgraded to A1 (sf); previously on Apr 1, 2025 Upgraded to A2 (sf) Issuer: OBX 2022-INV5 Trust Cl. B-1, Upgraded to Aa1 (sf); previously on Jun 28, 2024 Upgraded to Aa2 (sf) Cl. B-1A, Upgraded to Aa1 (sf); previously on Jun 28, 2024 Upgraded to Aa2 (sf) Cl. B-2, Upgraded to Aa2 (sf); previously on Apr 1, 2025 Upgraded to Aa3 (sf) Cl. B-2A, Upgraded to Aa2 (sf); previously on Apr 1, 2025 Upgraded to Aa3 (sf) Cl. B-3, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-3A, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Cl. B-4, Upgraded to Baa2 (sf); previously on Apr 1, 2025 Upgraded to Baa3 (sf) Cl. B-5, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. B-IO1*, Upgraded to Aa1 (sf); previously on Jun 28, 2024 Upgraded to Aa2 (sf) Cl. B-IO2*, Upgraded to Aa2 (sf); previously on Apr 1, 2025 Upgraded to Aa3 (sf) Cl. B-IO3*, Upgraded to A1 (sf); previously on Aug 21, 2025 Upgraded to A2 (sf) Issuer: OBX 2024-HYB1 Trust Cl. B-1, Upgraded to Baa2 (sf); previously on Aug 21, 2025 Upgraded to Baa3 (sf) Cl. B-2, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Aug 21, 2025 Upgraded to A3 (sf) Issuer: OBX 2024-HYB2 Trust Cl. B-1, Upgraded to Baa2 (sf); previously on Dec 23, 2024 Upgraded to Baa3 (sf) Cl. B-2, Upgraded to Ba1 (sf); previously on Aug 21, 2025 Upgraded to Ba2 (sf) Cl. M-2, Upgraded to A2 (sf); previously on Aug 21, 2025 Upgraded to A3 (sf) * Reflects Interest-Only Classes RATINGS RATIONALE The rating upgrades reflect the increased levels of credit enhancement available to the bonds, the recent performance, and Moody's updated loss expectations on the underlying pools. Some of the transactions Moody's reviewed continue to display strong collateral performance, with no current cumulative losses and a small number of loans in delinquency. The remaining transactions have seen an increase in the amount of loans in delinquency but have not incurred losses. In addition, enhancement levels for most tranches have grown significantly, as the pools amortize relatively quickly. The credit enhancement since closing has grown, on average, by 1.35x for the non-exchangeable tranches upgraded. No actions were taken on the other rated classes in these deals because their expected losses remain commensurate with their current ratings, after taking into account the updated performance information, structural features, credit enhancement and other qualitative considerations. Principal Methodologies The principal methodology used in rating all classes except interest-only classes was "US Residential Mortgage-backed Securitizations" published in May 2026. Factors that would lead to an upgrade or downgrade of the ratings: Up Levels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Down Levels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud. An IO bond may be upgraded or downgraded, within the constraints and provisions of the IO methodology, based on lower or higher realized and expected loss due to an overall improvement or decline in the credit quality of the reference bonds. Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of these transactions. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications. [] S&P Takes Various Action on 72 Classes From 11 U.S. CLO Deals ---------------------------------------------------------------- S&P Global Ratings took various rating actions on 72 classes of debt from 11 broadly syndicated U.S. CLO transactions. S&P lowered its ratings on 13 classes and affirmed its ratings on 59 classes from the transactions. S&P also removed 15 of these ratings from CreditWatch, where it had placed them with negative implications on May 6, 2026, due to indicative cash flow results and credit support at that time. A list of Affected Ratings can be viewed at: https://tinyurl.com/bde2pzvn S&P said, "The rating actions follow our review of each transaction's performance using data from their respective trustee reports. In our review, we analyzed each transaction's performance and cash flows and applied our global corporate CLO criteria in our rating decisions. "In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered each transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis--and other qualitative factors as applicable--demonstrated, in our view, that all of the rated outstanding classes have adequate credit enhancement available at the rating levels associated with these rating actions. "While each class's indicative cash flow results are a primary factor, we also incorporate other considerations into our decision to raise, lower, or affirm our ratings, or limit rating movements." These considerations typically include: -- Whether a CLO is reinvesting or paying down its debt; -- Existing subordination or overcollateralization levels and recent trends; -- The cushion available for coverage ratios and comparative analysis with other CLO classes with similar ratings; -- Forward-looking scenarios for 'CCC' and 'CCC-' rated collateral, as well as collateral with stressed market values; -- Current concentration levels; -- The risk of imminent default or dependence on favorable market conditions to meet obligations; and -- Additional sensitivity runs to account for any of the other considerations. The downgrades primarily reflect the class's indicative cash flow results and decreased credit support as a result of a combination of principal losses, reduced recoveries, and a decline in the weighted average spread in their respective portfolios. S&P said, "The affirmations reflect our view that the available credit enhancement for each respective class is still commensurate with the assigned ratings. "Although our cash flow analysis indicated a different rating for some classes of debt, we affirmed or took the rating action, as listed below, after considering one or more qualitative factors listed above. The ratings list highlights the key performance metrics behind the specific rating actions. "We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and will take rating actions as we deem necessary." ********* On Thursdays, the TCR delivers a list of recently filed Chapter 11 cases involving less than $1,000,000 in assets and liabilities delivered to nation's bankruptcy courts. The list includes links to freely downloadable images of these small-dollar petitions in Acrobat PDF format. Each Friday's edition of the TCR includes a review about a book of interest to troubled company professionals. All titles are available at your local bookstore or through Amazon.com. Go to http://www.bankrupt.com/books/to order any title today. Monthly Operating Reports are summarized in every Saturday edition of the TCR. The Sunday TCR delivers securitization rating news from the week then-ending. TCR subscribers have free access to our on-line news archive. 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